<t>If you have both atm, 25delta and 10 delta vols, would this be enough to overcome the problem on deep otm options on the vanna-volga method. Like using the Castagna and Mercurio approx with 25 vols for volatilities between 50-20 delta and using the same formula with 10delta vols for 20-0 delta.Or...

<t>Assuming I have 5 volatility points. 10dc, 25dc, atm , 25dp, 10dp. What would be the best way to interpolate the volatility for points inbetween and on the legs.I know the vanna volga method where you use 3 points to approximate the volatility smile. But assuming I have 5 points do you think it i...

Hi,I am making a list of FX Option Trading Platforms. I know there are platforms fromUBSCitibankDeutsche BankBarclaysHSBCbut these are for institiutional traders. Are there online option platforms for Retail clients. I know:Saxobank and IkonGM, any other platforms you know?Thnx

<t>Here is some information I found got from one of the largest financial instutions."...(how) the volatility smile is incorporated in (...) risk management process isone of the frontier issues in the wizardry world of derivative research, as much among the practitioners as among the academics. Howe...

<t>ok I understand the logic of this and I agree in general, but the vols (prices) are even identical in intraday terms and it seems unlikley to me that they are arriving to a unique price with arbitage trading like it is done for forex quotes. This may be true to fine tune the option prices but don...

<t>Hi,As we all know there is a volatility smile (smirk) and in the real world options are priced according to this smile. As far as I know there is no unique way to define a volatility to price a certain option. The thing that I am wondering is that all major financial institutions are pricing over...

<t>What is forex netting service and its dis/advantages?Example: Positions Long 100,000 EUR/USD for $118,370 Short 100,000 EUR/GBP for 72,310 GBP Short 72,310 GBP/USD for $118,501 To calculate netting position for each currency we need to sum up position on each currency from all pairs. In our case ...

<t>What is forex netting service and its dis/advantages?Example: Positions Long 100,000 EUR/USD for $118,370 Short 100,000 EUR/GBP for 72,310 GBP Short 72,310 GBP/USD for $118,501 To calculate netting position for each currency we need to sum up position on each currency from all pairs. In our case ...

Thx for the replies...To be more precise I especially need implied vols of options on1) GBY/JPY2) XAG/USD I already found for other fx. Any suggestions?

Does anyone know an investment bank or any other financial institution that provides real time implied volatility, especially for fx options?

<t>I am looking for a reference about technical analysis in charts but not the general staff. I am more interested in the details and calculations/formulas of the studies/indicators like macd, moving average, oscillators and so on... does anyone have an idea which book could guide me in this concept...

<t>I derived the greeks for the exotic options; cash-or-nothing, asset-or nothing, gap options and supershares but i can't find any reference where i can check wheter the are correct and i would like to give a reference for these in my paper. So i dont need the derivation but the formulas. Any sugge...

<r>hi Anton,here, gamma is the percentage of the total volatility explained by the jump and yes the volatility is constant. It is the basic Merton(1976) jump-diffusion model. I also would expect that the smile becomes more pronounced but did you look at the attached xls file? ps: a link to the paper...

<t>In the Merton jump-diffusion model holding the gamma constant I observe more pronounced implied volatility curves for less expected jumps. In other words the smile is more pronounced as the expected jump decreases. If i think of the realtion between the volatiliy smile and the implied RND I remem...

a result of yet incomplete calibration of S&P500 options...