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Presentation . 2021
License: CC BY
Data sources: Datacite
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Other literature type . 2021
License: CC BY
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Correlation Swap Pricing

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 13 Apr 2021 English Publisher:Zenodo
Authors: David Lee;

doi: 10.5281/zenodo.5759799 , 10.5281/zenodo.4683859

Correlation Swap Pricing

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.

https://ia803401.us.archive.org/11/items/eq-correlation-swap-26/EqCorrelationSwap-archive.pdf

Keywords

correlation swap, correlation swap pricing

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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