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Keywords: FX option, smile, consisten pricing, stochastic volatility. JEL Classification: G13. Suggested Citation: Suggested Citation. Castagna, Antonio and Mercurio, Fabio, Consistent Pricing of FX Options. Available at SSRN: https://ssrn.com/abstract=873788 or http://dx.doi.org/10.2139/ssrn.873788

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Consistent Pricing of FX Options. Antonio Castagna Fabio Mercurio Banca IMI, Milan In the current markets, options with different strikes or maturities

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Consistent Pricing and Hedging of an FX Options Book

Consistent Pricing of FX Options. Antonio Castagna Fabio Mercurio Banca IMI, Milan. In the current markets, options with different strikes or maturities are usually priced with different implied volatilities.

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The Hedging Costs of Discrete Monitoring of FX Barrier

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F. Mercurio and N. Moreni (2006), "Inflation with a smile", Risk March, Vol. 19(3), 70–75. L. Bisesti, A. Castagna and F. Mercurio (2005), "Consistent Pricing and Hedging of an FX Options Book", Kyoto Economic Review 74(1), 65–83. F. Mercurio (2005), "Pricing Inflation-Indexed Derivatives", Quantitative Finance 5(3), 289–302.

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Consistent pricing and hedging of an FX options book. Antonio Castagna. Lorenzo Bisesti. Fabio Mercurio. Consistent pricing and hedging of an FX options book.

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Vanna-Volga methods applied to FX derivatives: from theory

You are allowed to use books, course notes, and a calculator. Consistent Pricing of FX Options Antonio Castagna Fabio Mercurio Banca IMI, Milan In the smile markets, options with different strikes or maturities are usually priced with different implied volatilities.

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Consistent pricing and hedging of an FX options book

¾ To construct a binomial tree that is consistent with a given volatility, we will price call and put options. in the FX context,

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Consistent pricing of fx options antonio castagna fabio mercurio banca imi, milan in the current markets, options with difierent strikes or..

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consistent with market prices for all options Mercurio. Since in local volatility models the volatility is a deterministic function of the random stock price

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Consistent Pricing of FX Options - ResearchGate

Closed Form Pricing of FX Options under Stochastic Rates and Consistent Modeling of Discrete Cash Dividends.Tech.rep. D. and F. Mercurio (2001).

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Local Volatility FX Basket Option on CPU and GPU

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Implied Correlation for Pricing multi-FX options The pricing can be made consistent with volatility smiles of option underlying FXRs by considering more