haku: @author Lee, P. / yhteensä: 104
viite: 23 / 104
| Tekijä: | Lee, P. Wang, L. Karim, A. |
| Otsikko: | Index volatility surface via moment-matching techniques |
| Lehti: | Risk
2003 : DEC, VOL. 16:12, p. 85-89 |
| Asiasana: | asset management derivative securities financial markets index-linked securities hedging |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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