Implied basket correlation dynamics

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2014-11-20 DOI:10.1515/strm-2014-1176

W. Härdle, Elena Silyakova

引用次数: 11

Abstract

Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”. We study the performance of this strategy on the German market and propose several profitability improvement schemes based on implied correlation (IC) forecasts. Modelling IC conceals several challenges. Firstly the number of correlation coefficients would grow with the size of the basket. Secondly, IC is not constant over maturities and strikes. Finally, IC changes over time. We reduce the dimensionality of the problem by assuming equicorrelation. The IC surface (ICS) is then approximated from the implied volatilities of stocks and the implied volatility of the basket. To analyze the dynamics of the ICS we employ a dynamic semiparametric factor model.

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隐含篮子相关动力学

摘要股票篮子相关性既可以用股票价格的实物度量来估计，也可以用期权价格的风险中性度量来估计。两种估计之间的差异激发了一种所谓的“分散策略”。我们研究了该策略在德国市场上的表现，并提出了几种基于隐含相关性(IC)预测的盈利能力改进方案。模拟集成电路隐藏了几个挑战。首先，相关系数的数量会随着篮子的大小而增加。其次，IC在到期日和罢工期间不是恒定的。最后，IC会随着时间而变化。我们通过假设等相关来降低问题的维度。然后用股票的隐含波动率和一篮子货币的隐含波动率来近似计算隐含波动率曲面(ICS)。为了分析集成电路的动力学特性，我们采用了一个动态半参数因子模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.