Both options are backward-looking and contain zero information about current market conditions. Given that there are readily available broad-market level implied correlation measures (such as those calculated by CBOE), is there a sound way to blend the forward-looking measures into the historical m...

Hi all, one of the inputs required to correctly price any worst-of options (commonly seen in equity structure products) is the pairwise correlation between the assets.It might seem trivial but I'm having a hard time deciding what is the appropriate way to arrive at a correlation number for this purp...