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2003-02-13Buch DOI: 10.18452/3572
Correlation Risk Premia for Multi-Asset Equity Options
dc.contributor.authorFengler, Matthias R.
dc.contributor.authorSchwendner, Peter
dc.date.accessioned2017-06-15T21:25:46Z
dc.date.available2017-06-15T21:25:46Z
dc.date.created2005-10-13
dc.date.issued2003-02-13
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4224
dc.description.abstractThe lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap distributions are mapped on price distributions of three standard types of multi-asset options. ‘Minimal’ bid-ask spreads that reflect the risk from estimating the unknown correlations are quoted as quantiles of the price distributions. We discuss the influence of different market regimes and different payoff structures on the price distributions and on the the size of the resulting bid-ask spreads.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectMulti-Asset Optionseng
dc.subjectCorrelation Derivativeseng
dc.subjectCorrelation Riskeng
dc.subjectBid-Ask Spreadseng
dc.subjectBlock Bootstrappingeng
dc.subjectMarket Makingeng
dc.subjectEquity Derivativeseng
dc.subject.ddc330 Wirtschaft
dc.titleCorrelation Risk Premia for Multi-Asset Equity Options
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049898
dc.identifier.doihttp://dx.doi.org/10.18452/3572
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue10
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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