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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
This paper addresses arbitrage-free FX smile construction from near-term implied volatility dynamics proposed by Carr (J Financ Econ, 120(1), 1–20, 2016). The approach is directly applicable to FX option market conventions. Prices of market benchmark contracts (risk reversals and butterflies) are id...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9483449/ http://dx.doi.org/10.1007/s11147-022-09189-9 |