Please use this identifier to cite or link to this item:
Fengler, Matthias R.
Schwendner, Peter
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 2003,10
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.
Multi--Asset Options
Correlation Derivatives
Correlation Risk
Bid-Ask Spreads
Block Bootstrapping
Market Making
Equity Derivatives
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.