• No results found

Foreign Exchange options and the Volatility Smile 1

N/A
N/A
Protected

Academic year: 2020

Share "Foreign Exchange options and the Volatility Smile 1"

Copied!
7
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Figure 2: Implied volatility smile, skew and frown.
Table 1: Transformation of put and call delta’s.
Figure 3: Black-Scholes and premium-included delta as function ofstrike.
Figure 5: Implied risk-neutral density function with and withoutsmile.
+3

References

Related documents

This map (Figure 6) utilizes the azimuth of the lineation data to investigate the spatial distribution of those two clusters and determine possible locations of the tectonic

Porphyromo- nas, which includes Porphyromonas gingivalis (one of the most studied oral pathogens) and non-pathogeneic strains, was present in the upper digestive tract of all

ing Papua New Guinea, which is, accord- ing to Philip Gibbs, sharply divided into four major blocks: the PNG Council of Churches comprised of mainline churches

MOKGWATHI 4,713 BCP Kebofentse PHETOLO 764 IND Mothusi LETLAKELA 108 IND Anderson M.. Jelson MOTSAMAI

WEBPORTAL Retailer-branded Webforms WEBFORMS PORTAL INTEGRATION Task List Data Enrichment Data Approval WEBAPPROVAL ERP/ PIM MDM … GS1 Standard (XML,Pricat) or Inhouse formats

For quantifying potential uncertainties, a hybrid model constructed by the Cuckoo Search Optimization (CSO)-based Back Propagation Neural Network (BPNN) is proposed to estab- lish

Editable student models allow the student not only view their model, but to change it whenever they believe it does not represent their knowledge accurately.. Negotiable