Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities (Q2096155)
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scientific article; zbMATH DE number 7617767
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| English | Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities |
scientific article; zbMATH DE number 7617767 |
Statements
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities (English)
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16 November 2022
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FX options
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smile construction
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delta
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no-arbitrage
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derivatives
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0.7290211915969849
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0.725084125995636
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0.7122279405593872
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0.7073749899864197
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