Journal of Mathematical Finance

Vol.3 No.4(2013), Paper ID 38140, 6 pages

DOI:10.4236/jmf.2013.34041

 

Estimating Realistic Implied Correlation Matrix from Option Prices

 

Kawee Numpacharoen, Nattachai Numpacharoen

 

Equity & Derivatives Trading, Phatra Securities, Bangkok, Thailand
Department of Economic, Stanford University, Stanford, USA

 

Copyright © 2013 Kawee Numpacharoen, Nattachai Numpacharoen et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


K. Numpacharoen and N. Numpacharoen, "Estimating Realistic Implied Correlation Matrix from Option Prices," Journal of Mathematical Finance, Vol. 3 No. 4, 2013, pp. 401-406. doi: 10.4236/jmf.2013.34041.

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