Journal of Mathematical Finance

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



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.

Copyright © 2023 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.