摘要翻译：
本文给出了股票指数的金融期权市场在其组成部分之间产生非平凡依赖结构的证据。因此，例如，如果从单一股票期权市场推断出一个股票指数的单个组成分布，并通过高斯copula组合，人们就无法解释该指数所观察到的波动率倾斜的陡度。直觉上，指数期权价格在期权对市场压力情景特别敏感的情况下编码更高的相关性。因此，比高斯copulas或（与状态无关的）线性相关结构更复杂的依赖结构出现了。本文通过对指数期权市场进行“解码”，提取相关信息，使相关成为市场的一个动态变量，从而扩展了多资产版本的Dupire“局部波动率”模型。引入了多资产衍生品定价的“局部相关”模型(LCM)。我们展示了如何通过构造来实现与指数波动率数据的一致性。LCM通过构造实现了与成分股期权和指数期权市场的一致性，同时保持了Dupire模型的效率和易于实现。
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英文标题：
《Introduction into "Local Correlation Modelling"》
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作者：
Alex Langnau
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred from the single-stock option markets and combined via a Gaussian copula, for example, one fails to explain the steepness of the observed volatility skew of the index. Intuitively, index option prices are encoding higher correlations in cases where the option is particularly sensitive to stress scenarios of the market. As a result, more complex dependency structures emerge than the ones described by Gaussian copulas or (state-independent) linear correlation structures.   In this paper we "decode" the index option market and extract this correlation information in order to extend the multi-asset version of Dupire's "local volatility" model by making correlations a dynamic variable of the market. A "local correlation" model (LCM) is introduced for the pricing of multi-asset derivatives. We show how consistency with the index volatility data can be achieved by construction.   LCM achieves consistency with both the constituent- and index option markets by construction while preserving the efficiency and easy implementation of Dupire's model.
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PDF链接：
https://arxiv.org/pdf/0909.3441