Timeline for FX ATM-volatility quotes
Current License: CC BY-SA 4.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 23, 2020 at 10:40 | comment | added | Whitebeard13 | I am under the impression that the final form should be $(-\frac{\mu}{X_t^2}+\frac{\sigma^2}{X_t^3})dt-\frac{1}{X_t^2}\sigma dW_t$. Please correct me if I am wrong | |
| Jun 5, 2020 at 20:55 | comment | added | nbbo2 | Notice however that the drift (or dt term) changes: $\mu$ changes to $-\mu-\sigma^2$ | |
| Jun 5, 2020 at 20:33 | history | answered | SachaTheBrave | CC BY-SA 4.0 |