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Results tagged with option-pricing
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user 20736
Questions about models for the valuation of option contracts.
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 …
- 163
3
votes
3
answers
5k
views
FX Option pricing on Forward vs. Spot
In a GBM world with riskless domestic and foreign interest rates, what would be the correct model for a FX plain vanilla option given the statement that this option is priced on the forward? I guess i …
- 163