Published April 13, 2021
| Version v2
Presentation
Open
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://ia803401.us.archive.org/11/items/eq-correlation-swap-26/EqCorrelationSwap-archive.pdf
Files
Zenodo-EqCorrelationSwap.pdf
Files
(112.3 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:eb2072da865567f934d1ef96fe4a13ce
|
112.3 kB | Preview Download |