Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Matthias Muck
| Year of publication: |
2022
|
|---|---|
| Authors: | Muck, Matthias |
| Subject: | Delta | Derivatives | FX options | No-arbitrage | Smile construction | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Devisenoption | Currency option | Black-Scholes-Modell | Black-Scholes model | Index-Futures | Index futures |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-022-09189-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013457626