Worst-of options
Calamos combines rival structures with new autocall ETF
Generic local vol model allows exotic payoff to be packaged in index without vol target
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
JP Morgan worst-of structure straddles gold miners ETF and Russell 2000
The best of the worst-of
Trade of the month: Correlation
Trade of the month: Correlation