Online-Ressource
Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Umfang:
1 Online-Ressource (27 Seiten)
ISSN:
1436-1086
Serie:
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2003,2003,10
Inhalt:
The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap distributions are mapped on price distributions of three standard types of multi-asset options. ‘Minimal’ bid-ask spreads that reflect the risk from estimating the unknown correlations are quoted as quantiles of the price distributions. We discuss the influence of different market regimes and different payoff structures on the price distributions and on the the size of the resulting bid-ask spreads.
Sprache:
Englisch
URN:
urn:nbn:de:kobv:11-10049898
URL:
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