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The FX options market is the deepest, largest and most liquid market for options of any kind. Most FX derivatives trading is over the counter (OTC) and is lightly regulated. There are …

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Pricing Currency Put Options According to Put-Call Parity Given the premium of a European call option (called C), the premium for a European put option (called P) on the same currency and same exercise price (X) can be derived from put-call parity, as shown below:

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PDF | The foreign-exchange options market is one of the largest and most liquid OTC derivatives markets in the world. The market has developed its own way to quote options, which differs

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In the current markets, options with different strikes or maturities are usually priced with different implied volatilities. This stylized fact, which is commonly referred to asfsmile effect, can be accommodated by resorting to specific models, either for pricing exotic derivatives or for inferring

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the option pricing model, an example of a volatility frown is provided in Sec- tion 2, based on European call options written on the US/BP exchange rate in June, 1998.

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FX Options Pricing, what does it Mean? 2. For the sake of simplicity, the examples that follow do not take into • The appropriate volatility must be used when pricing FX options. 23. The Greeks • Delta - The change in the option’s value for every one unit change in the currency pair (0.00-1.00) •

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