FX Options and Smile RiskAntonio CastagnaJohn Wiley
This function is referred to as the volatility surface or the smile. Note that (6) implies there are infinitely many implied volatility quotes. However the market only trades a handful of call options at different strikes and maturities. The task is therefore to create a C2,1 function from ...
FX Options and Smile Risk (Castagna/FX) || Pricing Models for FX OptionsBlack–Scholesstochastic volatilityHeston modelSABR modelswaptionsdoi:10.1002/9781119207085.ch2CastagnaAntonio
Volatility Smile and Risk Neutral Density for FX Options: An Example for the USDMXNUSDMXNVolatility SmileRisk Neutral DensityVanna VolgaSABRDeltaForeign Exchange RateThis paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market conventions. This...