Arbeitspapier
Correlation Risk Premia for Multi-Asset Equity Options
The 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2003,10
- Klassifikation
-
Wirtschaft
- Thema
-
Multi--Asset Options
Correlation Derivatives
Correlation Risk
Bid-Ask Spreads
Block Bootstrapping
Market Making
Equity Derivatives
Optionspreistheorie
Risikoprämie
Korrelation
Finanzderivat
Bootstrap-Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fengler, Matthias R.
Schwendner, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2003
- Handle
- URN
-
urn:nbn:de:kobv:11-10049898
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fengler, Matthias R.
- Schwendner, Peter
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2003
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