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Results tagged with black76
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user 20736
3
votes
2
answers
613
views
FX Option Pricing Under Basis Adjustment
Given money market rates such as USD LIBOR and EURIBOR and in the context of FX options valuation, I have been reading about the importance to include a so called basis adjustment to one of the respec …
- 9,883
3
votes
1
answer
500
views
Pricing and Hedging an Option through a Currency Triangle
How is the option price of an plain vanilla option (in a Black Scholes setting) derived, which is written on, say XAGGBP but practically hedged with XAGUSD and GBPUSD (because these are more liquid)? …
- 21.3k