<t>your post was from some time agp, but you might still be interested in this topic.I too have found that implied vol correlations based on daily increments are generally weak, whether stock against index or index against index. There only seems to be a significant correlation in periods of large d...

<t>I've been looking at the paper "Variance Optimal Hedging in the BS Model for a given Number of Transactions costs" by Martini & Patry (INRIA # 3767). If you are familiar with this paper, your opinion is very welcome. I've implemented their stopping-time algorithm and was interested in finding...