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 ...
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 ...
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