FX Volatility Smile Construction (original) (raw)
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2010
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and differ significantly from other markets. We give a detailed overview of these quoting mechanisms and introduce the resulting smile construction problem. Furthermore, we provide a new formula which can be used for an efficient and robust FX smile construction.
Volatility behavior of virtual currencies
Independent Journal of Management & Production
In order to do a volatility analysis, since the exchange rate is higher than the average risk, the higher the average rate of return, the higher the average growth rate of the year. applied the method of data analysis. An attempt to volatility analysis can be made in one year, in the middle of the end of 2016.
What Does Today's Smile Imply About Future Volatilities
The paper presents a simple and financially justifiable way to extract from today's plain vanilla option prices the evolution of the smile surface in the (Q) measure. By combining this information with (P)-measure estimation of the dependence of implied volatility on the underlying, one can i) obtain information about the existence and magnitude of a volatility risk premium; ii) devise trading strategies; iii) price options such as Forward Volatility Agreements (FVAs).