Timeline for Correlation sensitivity of Rainbow options
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 17, 2019 at 14:20 | comment | added | will | i don't have one no. It's pretty obvious though, given the example in the question (50% best, 30% 2nd best, 20% worst), we can write it as a $0.9 \cdot \mathrm{equal weighted basket} + 0.2 \cdot \mathrm{best of} - 0.1 \mathrm{worst of}$. So correlation has no effect on the first term, but the min/max are effected by correlation (you can see the distributions here). | |
| Mar 16, 2019 at 13:40 | comment | added | ZRH | ok, can you point us to a reference ? | |
| Mar 16, 2019 at 13:19 | comment | added | will | This is wrong. If the basket has some optional it in it, ie a worst of/best of, which a rainbow basket can be described as, then the correlation does have an impact on the forward. | |
| Feb 14, 2019 at 8:33 | history | answered | ZRH | CC BY-SA 4.0 |