Primary Article
Is Implied Correlation Worth Calculating?
Evidence from Foreign Exchange Options
Christian A. Walter and Jose A. Lopez
The Journal of Derivatives Spring 2000, 7 (3) 65-81; DOI: https://doi.org/10.3905/jod.2000.319125
Christian A. Walter
With the Risk Management Group at the Credit Suisse Group in Zurich, Switzerland.
Jose A. Lopez
In the Economic Research Department at the Federal Reserve Bank of San Francisco.
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Is Implied Correlation Worth Calculating?
Christian A. Walter, Jose A. Lopez
The Journal of Derivatives Feb 2000, 7 (3) 65-81; DOI: 10.3905/jod.2000.319125
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