The most simple methodology to create a valid correlation matrix for risk management and option pricing purposes

Joseph Simonian

Applied Economics Letters, 2010, vol. 17, issue 18, 1767-1768

Abstract: We present a methodology for obtaining a valid correlation matrix from an invalid one for financial applications. In contrast to other approaches, the methodology described only requires the use of elementary matrix algebra and a simple randomization procedure.

Date: 2010
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DOI: 10.1080/13504850903299628

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