A framework for robust measurement of implied correlation

作者：

Highlights：

• We determine correlation estimates by matching the observed index option price with its model price.

• Different basket price approximations lead to different implied correlation estimates.

• The industry standard for measuring implied correlation is a bad estimate when it is needed the most.

• We propose a new approach for determining accurately implied correlations.

摘要

•We determine correlation estimates by matching the observed index option price with its model price.•Different basket price approximations lead to different implied correlation estimates.•The industry standard for measuring implied correlation is a bad estimate when it is needed the most.•We propose a new approach for determining accurately implied correlations.

论文关键词：Implied correlation estimate,Index option,Vanilla option,Implied volatility,VIX

论文评审过程：Received 20 December 2013, Available online 12 April 2014.

论文官网地址：https://doi.org/10.1016/j.cam.2014.03.026