Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

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Location: Deutsche Nationalbibliothek Frankfurt am Main

Extent: Online-Ressource

Language: Englisch

Bibliographic citation: In: Review of Derivatives Research, 25 (2022), 3, S. 293-314 - ISSN: 1573-7144

Classification: Wirtschaft

Event: Veröffentlichung

(where): Bamberg

(who): Otto-Friedrich-Universität Bamberg

(when): 2023

Creator: Muck, Matthias

URN: urn:nbn:de:bvb:473-irb-581501

Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.

Last update: 14.08.2025, 11:03 AM CEST

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Muck, Matthias
Otto-Friedrich-Universität Bamberg

Time of origin

2023

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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

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