Counterexamples for FX Options Interpolations -- Part II
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866908728403427328 |
|---|---|
| author | Healy, Jherek |
| author_facet | Healy, Jherek |
| contents | This follow-up article analyzes the impact of foreign exchange option interpolation on the vanilla option implied volatilities. In particular different exact interpolations of broker quotes may lead to different implied volatilities at the 10$Δ$ and 25$Δ$ Puts and Calls. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_19625 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Counterexamples for FX Options Interpolations -- Part II Healy, Jherek Pricing of Securities This follow-up article analyzes the impact of foreign exchange option interpolation on the vanilla option implied volatilities. In particular different exact interpolations of broker quotes may lead to different implied volatilities at the 10$Δ$ and 25$Δ$ Puts and Calls. |
| title | Counterexamples for FX Options Interpolations -- Part II |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2512.19625 |