Published July 2, 2020
| Version v2
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FX Implied Volatility
Description
One can extract the implied volatility from the market volatility smile corresponding to the option’s moneyness. FX volatility surface is a three-dimensional plot of the implied volatility as a function of term and Delta smile. FX volatility comes in Delta convention of market quotes for at-the-money, 10%, and 25% deltas.
Notes
https://ia601406.us.archive.org/18/items/fx-vol-5/FxVol-5.pdf
Files
Zenodo-FxVol.pdf
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(471.1 kB)
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