-
FX Volatility Surface Introduction
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- forex implied volatility, FX volatility surface, volatility surface construction
- Permanent URL:
- http://dx.doi.org/10.17613/ghsy-j082
- Abstract:
- An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. A volatility surface is derived from quoted volatilities that provides a way to interpolate an implied volatility at any strike and maturity.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
fxvol-5.pdf