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dc.contributor.authorReiswich, Dimitrien
dc.contributor.authorWystup, Uween
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:04:15Z-
dc.date.available2010-09-24T09:04:15Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x20en
dc.subject.ddc330en
dc.subject.keywordFX Quotationsen
dc.subject.keywordFX Smile Constructionen
dc.subject.keywordRisk Reversalen
dc.subject.keywordButterflyen
dc.subject.keywordStrangleen
dc.subject.keywordDelta Conventionsen
dc.subject.keywordMalz Formulaen
dc.subject.stwDevisenoptionsgeschäften
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.titleFX volatility smile construction-
dc.typeWorking Paperen
dc.identifier.ppn830008470en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:20en

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