Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Year of publication: |
2022
|
---|---|
Authors: | Muck, Matthias |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 3, p. 293-314
|
Subject: | Delta | Derivatives | FX options | No-arbitrage | Smile construction | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Experiment | Optionsgeschäft | Option trading | Devisenoption | Currency option | Black-Scholes-Modell | Black-Scholes model |
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