An Intuitively Valid Algorithm for Adjusting the Correlation Matrix in Risk Management and Option Pricing

Kawee Numpacharoen, K. Bunwong
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引用次数: 4

Abstract

Adjusting the correlation matrix plays an important role in risk management as well as option pricing. We usually adjust the correlation matrix by directly changing the correlation coefficient in the correlation matrix. However, there is a chance that the adjusted correlation matrix is not valid. In this paper, we present a new algorithm for adjusting the correlation matrix that maintains its validity. Furthermore, the correlative relationship among the assets that we do not want to adjust will not be affected by the adjustment. Therefore, the solution obtained from our new algorithm is considered to be intuitively valid.
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一种直观有效的风险管理与期权定价相关矩阵调整算法
调整相关矩阵在风险管理和期权定价中起着重要的作用。我们通常通过直接改变相关矩阵中的相关系数来调整相关矩阵。但是,调整后的相关矩阵有可能无效。在本文中,我们提出了一种新的调整相关矩阵的算法,以保持其有效性。此外,我们不希望调整的资产之间的相关关系不会受到调整的影响。因此,我们认为新算法得到的解是直观有效的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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