Published April 13, 2021
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Correlation Swap Pricing
Description
A Correlation Swap is a contract in which the option buyer receives the difference between the observed correlation and the strike correlation on a basket of assets, observed over a specified time interval.
Notes
https://ia801400.us.archive.org/17/items/eq-correlation-swap-26/EqCorrelationSwap-26.pdf
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EqCorrelationSwap-26.pdf
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