Correlations in asynchronous markets

Correlations in asynchronous markets

Multi-asset options have long been prominent among equity derivatives. The number of securities referenced in an equity payout may range from a few – in the case of, say, a basket option on indexes – to 50 for the case of a correlation swap on the components of the Stoxx 50 index. In addition, option payouts are generally written on baskets of securities that span all geographical areas. Correlations in asynchronous markets