yep...your methods sounds correct. not too sure about other models. Spoona13

<t>hi,for ITM and OTM fx options, when vol increases, the initial increase in vega is convex. when vol continues increases, the increase in vega begins to level out and hence, increases in vega become concave. note that the change in vega for ITM vs OTM are not symmetric. as a result, your DvegaDvol...

<t>hi,i'll attempt to explain this in the context of swaps. the q relates to the topic of non-deliverable swaps (offshore prices), swhereas swaps for delivery ar onshore prices. some large local international banks are able to trade both onshore and offshore, while some are only restricted to offsho...

<t>hi,i'll give your q a shot but my knowledge is also a bit limited...- Garman-Kohlhagen is still the model used, but this needs to be modified to account for your skew and kurtosis.- not too sure if there is a standard model, but generally they go from 10deltas out to 35 deltas in 5 to 10delta inc...

hi,i think they r all traded otc in interbank mkt. however, u can probably trade exotic options for SGD/USD on refcofx.com. with regard to futures, i am unsure.hope this helps.Spoona13

hi Icecloud...the pages on bloomberg and reuters are composites mid-rates. they can be a fair way off if the fx market is very volatile. i am working for a bookie and interested to know how the nds are priced. thanks anyway for your help. muchly appreciated.Spoona13

hi,i am looking at the pricing of non-deliverable swaps for USD against emerging market currencies. i am having trouble finding any helpful material on the net and am asking for help on this matter. thanks very much in advance for any help.Spoona13.

hi,i am looking at the pricing of non-deliverable swaps for USD against emerging market currencies. i am having trouble finding any helpful material on the net and am asking for help on this matter. thanks very much in advance for any help.Spoona13.

<t>Hi,just wondering if anybody could provide some insight as to how interest rate options and swaptions are traded and hedged. for example, are the options/swaptions delta hedged; is the vol surface based on the same principles as the fx option vol surface; correlation consideration along the yield...

try looking at Espen Haug's articles in Wilmott Mag titled "Know your weapon" (Parts 1 and 2)Spoona13

<t>Hi all,I have been trying to read Taleb's book and I am encountering some confusion with respect to the Greeks and the appropriate moment of the distribution described by the Greek. Below, I have a table of the Greeks and the moment corresponding to each eg Vanna describes the skew and Volga desc...

<t>Hi all,I have been trying to read Taleb's book and I am encountering some confusion with respect to the Greeks and the appropriate moment of the distribution described by the Greek. Below, I have a table of the Greeks and the moment corresponding to each eg Vanna describes the skew and Volga desc...

i hope this diagram helps

<t>hi,say you have a call option that knocks out ITM (ie a reverse knock out call) with a barrier>strike>spot. your theorectical delta hedge would be short spot. when spot gets close to the barrier, the delta increases, meaning that you have to sell more spot to maintain a delta hedge posi. if the b...

<t>here's my stab at it:as other members have stated, the BS model assumes constant vol, whereas in reality, vol changes w.r.t. strike and term structure. this person was also dynamically delta hedging...by dynamically delta hedging, you remove all risk in the BS world as you hedge delta and gamma. ...