Serving the Quantitative Finance Community

Search found 8 matches

by Tigerlil
September 14th, 2005, 7:26 am
Forum: Technical Forum
Topic: Valuation of illiquid currency options
Replies: 18
Views: 139685

Valuation of illiquid currency options

Yup that's me. Not a brilliant paper becuz of the simplifying assumptions...like independence.
by Tigerlil
September 14th, 2005, 6:03 am
Forum: Technical Forum
Topic: Valuation of illiquid currency options
Replies: 18
Views: 139685

Valuation of illiquid currency options

Not much help to you there...Unless an assumption of independence would be appropriate...? That would depend on the currencies in question. If not, you're stuck with the historic correlation.
by Tigerlil
September 14th, 2005, 6:03 am
Forum: Technical Forum
Topic: Valuation of illiquid currency options
Replies: 18
Views: 139685

Valuation of illiquid currency options

Not much help to you there...Unless an assumption of independence would be appropriate...? That would depend on the currencies in question. If not, you're stuck with either the historic correlation.
by Tigerlil
September 14th, 2005, 5:39 am
Forum: Technical Forum
Topic: Valuation of illiquid currency options
Replies: 18
Views: 139685

Valuation of illiquid currency options

<t>I don't know if it is actually used in the market, but you can try to use Breeden and Litzenberger to determine the cross currency CDF for the illiquid pair, and thereby price the option. At university I wrote a paper investigating this problem in the context of pricing cross-currency forward opt...
by Tigerlil
March 23rd, 2004, 2:41 pm
Forum: Student Forum
Topic: Short rate models: Calibration
Replies: 0
Views: 189357

Short rate models: Calibration

<t>I am trying to calibrate a no-arbitrage model of the short rate where the underlying differential equation is of the form: dr = m(t) r dt + w r dz This looks very similar to the Ho&Lee model, except for the r-term next to stochastic dz. It also looks very like the Rendlemann&Bartter model...
by Tigerlil
September 1st, 2003, 12:00 pm
Forum: Student Forum
Topic: Quoting convention: Options on forex forwards
Replies: 1
Views: 189545

Quoting convention: Options on forex forwards

<t>I want to understand the quoting conventions for options on forex forwards. Can anyone recommend a site or paper that could assist me in this regard. For example, if I have a volatility quote for a 25-delta straddle, does this quote mean that I am buying a 25-delta put and a 25-delta call? What a...
by Tigerlil
August 6th, 2003, 9:04 am
Forum: Technical Forum
Topic: Implied vol: Cross currency trades
Replies: 20
Views: 191598

Implied vol: Cross currency trades

<t>QuoteOriginally posted by: TigerlilI need to calculate the implied vol for a domFX/GBP option, but there is no such option, only domFX/USD and USD/GBP (i.e. a cross currency trade). Reversing out the implied vol using the implied domFX/GBP inputs seems unacceptable. Or am I being too pedantic? __...
by Tigerlil
August 5th, 2003, 11:04 pm
Forum: Technical Forum
Topic: Implied vol: Cross currency trades
Replies: 20
Views: 191598

Implied vol: Cross currency trades

<t>I need to calculate the implied vol for a domFX/GBP option, but there is no such option, only domFX/USD and USD/GBP (i.e. a cross currency trade). Reversing out the implied vol using the implied domFX/GBP inputs seems unacceptable. Or am I being too pedantic? ____________Thanks, for the feedback....