Implied Correlation in Two Asset Discounts/ Reverse Convertibles

lu716hof · January 18th, 2005, 9:11 am

Hi,I am looking for help on the question: How to back out implied correlation of Two Asset Reverse Convertibels orTwo Asset Discounts. Where can I find literature or papers about this Kind of question?Thanx

baghead · January 18th, 2005, 10:51 am

hfb & hsh?

derivababy · January 27th, 2005, 8:53 pm

hi lu716hof,try to think a bit in terms of:old days way: just a basket of 2 puts (instead of 1 for the classic reverse conv.)orsthg like: a worst-off payoff => valued with MC -possibly- or closed form.