Strike from volatility and delta-with-premium

DOI10.1080/14697688.2020.1726440zbMath1454.91292OpenAlexW3015278020MaRDI QIDQ5139228

Peter Jäckel

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1726440

zbMATH Keywords

FX marketsBlack volatilitydelta-with-premium function

Mathematics Subject Classification ID

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

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Shape Preserving Piecewise Rational Interpolation
• Rational Chebyshev Approximations for the Error Function

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