Arbeitspapier
FX volatility smile construction
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and differ significantly from other markets. We give a detailed overview of these quoting mechanisms and introduce the resulting smile construction problem. Furthermore, we provide a new formula which can be used for an efficient and robust FX smile construction.
- Language
-
Englisch
- Bibliographic citation
-
Series: CPQF Working Paper Series ; No. 20
- Classification
-
Wirtschaft
- Subject
-
FX Quotations
FX Smile Construction
Risk Reversal
Butterfly
Strangle
Delta Conventions
Malz Formula
Devisenoptionsgeschäft
Wechselkurs
Volatilität
Stochastischer Prozess
Optionspreistheorie
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Reiswich, Dimitri
Wystup, Uwe
- Event
-
Veröffentlichung
- (who)
-
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
- (where)
-
Frankfurt a. M.
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Reiswich, Dimitri
- Wystup, Uwe
- Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Time of origin
- 2009
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