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dc.contributor.authorReiswich, Dimitrien_US
dc.contributor.authorWystup, Uween_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:04:15Z-
dc.date.available2010-09-24T09:04:15Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/40186-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 20en_US
dc.subject.ddc330en_US
dc.subject.keywordFX Quotationsen_US
dc.subject.keywordFX Smile Constructionen_US
dc.subject.keywordRisk Reversalen_US
dc.subject.keywordButterflyen_US
dc.subject.keywordStrangleen_US
dc.subject.keywordDelta Conventionsen_US
dc.subject.keywordMalz Formulaen_US
dc.subject.stwDevisenoptionsgeschäften_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwTheorieen_US
dc.titleFX volatility smile constructionen_US
dc.typeWorking Paperen_US
dc.identifier.ppn613825101en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:20-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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