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FX Implied Volatility

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 02 Jul 2020 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.3928657 , 10.5281/zenodo.3928656 , 10.5281/zenodo.6499323

FX Implied Volatility

Abstract

An implied volatility is the volatility implied by the market price of an option based on the Black Scholes option pricing model. A volatility surface is derived from quoted volatilities that provides a way to interpolate an implied volatility at any strike and maturity. Unlike in other markets that quote volatility versus strike directly, the FX smile is given implicitly as a set of restrictions implied by market instruments and as such a calibration procedure to construct a volatility delta or volatility strike smile is used.

https://ia601406.us.archive.org/18/items/fx-vol-5/FxVol-5.pdf

Keywords

Implied volatility, FX implied volatility, risk reversal, butterfly

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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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influence
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impulse
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