Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

DOI10.1007/S11147-022-09189-9zbMath1501.91167OpenAlexW4296215846MaRDI QIDQ2096155

Matthias Muck

Publication date: 16 November 2022

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-022-09189-9

zbMATH Keywords

derivativesdeltano-arbitrageFX optionssmile construction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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