Timeline for Do correlated assets affect the price of a portfolio of derivatives?
Current License: CC BY-SA 4.0
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Apr 4, 2019 at 1:12 | vote | accept | Ulysse | ||
Apr 3, 2019 at 9:22 | comment | added | Richi Wa | I would say: At time $0$ the spot prices are what they are. They enter the evaluation of your derivative where each one of them just has one underlying. When you assess the risk of your portfolio (real world measure) in the sense of spot prices in the future then it matters. | |
Apr 2, 2019 at 23:19 | comment | added | Ulysse | Ok, this makes much more sense now. Nevertheless the correlation has an impact on the price of my portfolio only at later times, correct? The initial price is still independent of the correlation. It is only after simulating the prices at time $t<T$ that the price of the portfolio will be dependent of the correlation factor? Thank you very much for your help! | |
Apr 2, 2019 at 11:18 | history | answered | Richi Wa | CC BY-SA 4.0 |