Is implied correlation worth calculating? Evidence from foreign exchange options

Journal of Derivatives

Volumn 7, Issue 3, 2000, Pages 65-81

  Walter, Christian A ^a   Lopez, Jose A ^b  

^a Credit Suisse group   (Switzerland)

^b FEDERAL RESERVE BANK OF SAN FRANCISCO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85012063776     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2000.319125     Document Type: Article

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