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by munkki123
August 22nd, 2017, 9:19 pm
Forum: Technical Forum
Topic: FX option pricing in practice
Replies: 5
Views: 3169

Re: FX option pricing in practice

Thanks doublebarrier2000! Is this to say that the starting points for curve construction are the IV, RR and BF quotes one can retrieve from the brokers? If so this might result in some sort of herding behaviour among market makers (you and me might talk to the same broker and therefore use the same ...
by munkki123
April 25th, 2017, 7:41 pm
Forum: Trading Forum
Topic: How to measure volatility of volatility
Replies: 11
Views: 4914

Re: How to measure volatility of volatility

Taleb says that one should be careful to avoid running overlapping data. Can someone please elaborate? The vol of vol controls the convexity of the implied volatility smile curve. So ideally it should come from the implied vol surface. If you don't have option smile data, using GARCH model to calcu...
by munkki123
April 19th, 2017, 8:53 pm
Forum: Trading Forum
Topic: FVA pricing at inception + dynamic replication
Replies: 2
Views: 2369

FVA pricing at inception + dynamic replication

How do we determine a fair value of forward implied volatility (FVA strike) at inception? Also, I'd be interested in hearing how we can replicate such position? Straddles maybe? Or should we use strangles as they are less sensitive to spot?
by munkki123
September 29th, 2016, 9:04 pm
Forum: Technical Forum
Topic: FX option pricing in practice
Replies: 5
Views: 3169

FX option pricing in practice

Can someone kindly elaborate how option pricing works in practice/reality. Let's take FX as an example. Say I trade EUR/USD options and sales people come to me and ask me to make prices for different strikes for different tenors. Imagine that I get a request from a salesperson. She/he is asking me t...
by munkki123
July 13th, 2016, 10:14 am
Forum: Trading Forum
Topic: How to measure volatility of volatility
Replies: 11
Views: 4914

Re: How to measure volatility of volatility

Thanks Alan!
by munkki123
July 12th, 2016, 3:37 pm
Forum: Trading Forum
Topic: How to measure volatility of volatility
Replies: 11
Views: 4914

How to measure volatility of volatility

Taleb says that one should be careful to avoid running overlapping data. Can someone please elaborate?