Counterexamples for FX Options Interpolations -- Part I
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866918259531448320 |
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| author | Healy, Jherek |
| author_facet | Healy, Jherek |
| contents | This article provides a list of counterexamples, where some of the popular fx option interpolations break down. Interpolation of FX option prices (or equivalently volatilities), is key to risk-manage not only vanilla FX option books, but also more exotic derivatives which are typically valued with local volatility or local stochastic volatilility models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_19621 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Counterexamples for FX Options Interpolations -- Part I Healy, Jherek Pricing of Securities Computational Finance Risk Management This article provides a list of counterexamples, where some of the popular fx option interpolations break down. Interpolation of FX option prices (or equivalently volatilities), is key to risk-manage not only vanilla FX option books, but also more exotic derivatives which are typically valued with local volatility or local stochastic volatilility models. |
| title | Counterexamples for FX Options Interpolations -- Part I |
| topic | Pricing of Securities Computational Finance Risk Management |
| url | https://arxiv.org/abs/2512.19621 |