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Impact of correlation on greeks of a multi-underlying autocallable product

Just think of the basket as a single thing. Correlation affects vol of this. So the effect is, correlation up, vol up, autocall probability higher, product more valuable. So delta is higher as vol ...
Arshdeep's user avatar
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1 vote

Quantifying Costs/Benefits Of Partial Hedging

Let try a very simple approximation using a binomial tree where the stock moves from $S$ or to $S\times U$ or $S\times D$ with state factors $U\equiv e^{\sigma\sqrt{\Delta t}}$ and $D$. For simplicity,...
Kermittfrog's user avatar
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