2 votes

FX Call under stochastic rates and deterministic volatility

Consider the call option with payoff $(S_T-K)^+$ at the option maturity $T$. Note that the forward exchange rate \begin{align*} F(t, T) = S_t \frac{P^f(t, T)}{P^d(t, T)} \end{align*} is a martingale ...
Gordon's user avatar
  • 21.1k
2 votes

FX quoting convention

Fx volatility quote conventions are typically esoteric and befuddling. For example, EUR/USD 1m ATM would be the volatility at the strike of a zero spot delta (without premium) straddle. The quote is ...
river_rat's user avatar
  • 960

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