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

ISSN: 1573-7144

Extent: Online-Ressource

Language: Englisch

Notes: online resource.

Bibliographic citation: Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities ; volume:25 ; number:3 ; day:18 ; month:9 ; year:2022 ; pages:293-314 ; date:10.2022
Review of derivatives research ; 25, Heft 3 (18.9.2022), 293-314, 10.2022

Classification: Wirtschaft

Creator: Muck, Matthias

Contributor: SpringerLink (Online service)

DOI: 10.1007/s11147-022-09189-9

URN: urn:nbn:de:101:1-2022121221031274909126

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

Last update: 15.08.2025, 7:32 AM CEST

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Muck, Matthias
SpringerLink (Online service)

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

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