Been looking for this...

Is there any way we can infer directly, say GBP-JPY's 1-year volatility from GBP-USD's and USD-JPY's?

Many thanks.

  • $\begingroup$ In a Black/Scholes model - yes, given the correlation between GBP/USD and USD/JPY. See e.g. the first example in Uwe Wystup's paper "How the Greeks would have hedged correlation risk of foreign exchange options" which uses exactly those currency pairs. $\endgroup$ – LocalVolatility Mar 13 '18 at 14:04

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