-
Correlation Swap
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- correlation swap
- Permanent URL:
- http://dx.doi.org/10.17613/43rk-7t58
- Abstract:
- A Correlation Swap is a contract in which the option buyer receives the difference between the observed correlation and the strike correlation on a basket of assets, observed over a specified time interval.
- Notes:
- https://alanwhite1203.github.io/EqCorrelationSwap-26.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
eqcorrelationswap-26.pdf