CUTTING EDGE Equity derivatives Correlations in asynchronous markets The author addresses the issue of pricing multi-asset options in the context of asynchronous markets. Using the criterion that the carry profit and loss (P&L) vanishes, he derives the expression of the correlation estimator for the asynchronous case. He studies its historical behaviour for the case of the Stoxx 50, S&P 500 and ...
| Year of publication: |
2010
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| Authors: | Bergomi, Lorenzo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 11, p. 72-79
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