Published November 11, 2022
| Version v1
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FX Option Delta Calculation
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Description
The pricing of a vanilla European option is done using the following original (market) input: spot FX rate, time to expiry, strike, domestic foreign interest rate, foreign interest rate, and volatility extracted from smile using all prior five parameters.
Notes
https://finpricing.com/lib/EqAsian.html
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FxOptionDelta.pdf
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(155.8 kB)
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