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Independently if it makes economically sense or not, negative interest rates have become a reality for Europe which can no longer be neglected. (Even LIBOR became negative in the last months.) One common but wrong solution was to set the rate simply to zero. (One must - by the way take care - that this "solution" is not automatically applied by correction ...


To a FX trader, "considerably out-of-the-money" means "low delta" and "close to at-the-money" means "close to 50% delta." That is, moneyness is measured in terms of delta. A useful way to understand this is that delta measures the probability of finishing in the money[1]. A 10% delta option has 10% chance of finishing in the money; a 50% delta option has ...

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