Equity derivatives Large deviations in dependencies — Correlation breaks — Are a hazard when risk managing multi-asset derivatives such as worst-of options. The author presents a calibration scheme for local correlation that ensures a basket's skew is compatible with the local volatility dynamics of its constituents — And leads to more accurate hedging.
| Year of publication: |
2010
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|---|---|
| Authors: | Reghai, Adil |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 10, p. 92-98
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