Latest / The Trading Floor with David Axtell
Episode 10: Correlation and Basket Options
Basket options combine several currencies into one payoff. Learn how correlation creates the apparent diversification benefit and why that benefit can disappear when markets become stressed.This episode is part of FX Options Daily, a 30-day themed season of The Trading Floor covering pricing, hedging, exotics, risk and institutional FX options practice.Full treatment: Chapter 10 of FX Options.Educational content only. Nothing in this episode constitutes investment advice.
The skinny
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