Chapter 28. PRICING CORRELATION OPTIONS WITH UNCERTAIN CORRELATION COEFFICIENTS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 29 in Exotic Options:A Guide to Second Generation Options, 1997, pp 549-572 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONMETHODS TO ESTIMATE THE CORRELATION COEFFICIENTSOME EMPIRICAL EVIDENCEA DISTRIBUTION OF THE CORRELATION COEFFICIENTTHE MONOTONICITY OF THE DENSITY FUNCTIONTHE FIRST FOUR MOMENTS OF THE DISTRIBUTION OF THE CORRELATION COEFFICIENTPRICING CORRELATION OPTIONS WITH UNCERTAIN CORRELATION COEFFICIENTSAPPROXIMATING PRICES OF CORRELATION OPTIONS WITH UNCERTAIN CORRELATION COEFFICIENTSTHE CERTAINTY EQUIVALENT CORRELATION COEFFICIENTSUMMARY AND CONCLUSIONSQUESTIONS AND EXERCISESAPPENDIXThe Proof of Proposition 1The Outline of the Proof of the Four MomentsThe Exact DistributionVARIOUS APPROXIMATIONSCOMPARING VARIOUS APPROXIMATIONS

Date: 1997
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