0
$\begingroup$

What value do you use for annual dividend yield? It does not apply in case of FX.

$\endgroup$
1
$\begingroup$

When pricing FX options, the underlying is the spot or forward exchange rate.

The foreign currency is analogous to a stock where the owner of the foreign currency receives a "dividend yield" equal to the risk-free rate in the foreign currency.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.