Implements calculation of option implied correlations following Buss, A. and Vilkov, G., 2012. Measuring equity risk with option-implied correlations. The Review of Financial Studies, 25(10), pp.3113-3140.
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Implements calculation of option implied correlations following Buss, A. and Vilkov, G., 2012. Measuring equity risk with option-implied correlations. The Review of Financial Studies, 25(10), pp.3113-3140.
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tobikuhlmann/option_implied_betas
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Implements calculation of option implied correlations following Buss, A. and Vilkov, G., 2012. Measuring equity risk with option-implied correlations. The Review of Financial Studies, 25(10), pp.3113-3140.
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