How do you calculate the Forward of a Worst of?
Posted: April 18th, 2006, 10:47 am
Hi,Does anyone know how you can calcuate the forward of a worst of (eg. for 2 stocks) ?Normally I just do it on the Monte Carlo but I heard there is a formulae where you can actually work it out on paper.What I am interested in is to look at the relationship between the correlation and its forward for a worst of basket. It will be great if someone can help.Regards,Brian