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 ...

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...

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?

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...

Thanks Alan!

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