<t>Kendalls Tau Transform is a robust estimator for the correlation coeficient. It is non-parametric and will not be influenced by outliers that much. I have seen the method where they use KTT as a point estimate for correlation and then do a ML search over the DoF in a t-copula. I think it is stati...

<t>Related question. I think that the delta of a specific name is very much dependent on the correlation of that name with the market. The use of implied (base) correlation would not give the desired effect. But if I am using historical asset correlation vector, am I then still pricing risk-neutral?...