search query: @indexterm INDEX-LINKED SECURITIES / total: 20
reference: 3 / 20
| Author: | Lee, P. Wang, L. Karim, A. |
| Title: | Index volatility surface via moment-matching techniques |
| Journal: | Risk
2003 : DEC, VOL. 16:12, p. 85-89 |
| Index terms: | asset management derivative securities financial markets index-linked securities hedging |
| Language: | eng |
| Abstract: | This article discusses the construction of an options basket. The authors provide a construction technique by using Gram-Charlier-Edgeworth expansions and show how to express basket option skews and smiles in terms of its underlying components. The authors also illustrate the way market-dependent correlation is needed to fit observed properties of index options. |
SCIMA