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Presentation . 2020
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Presentation . 2020
License: CC BY
Data sources: Datacite
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FX Implied Volatility

descriptionPublicationkeyboard_double_arrow_right Presentation 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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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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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
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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