<r>you can try vanna-volga model to pricing some simple barrier or binary options. also you can try local volatility model and stochastic volatility model in many types of fx exotic option. as for stochastic volatility model, in fx, people usually use heston model rather than sabr model.vanna-volga ...

Hi See also here:http://www.sungard.com/Reech/menus/docu ... ochvol.pdf

<r>Hi all,There is a stochastic/local vol hybrid model which is issued by Guillaume Blacher in 2001. The presentation name is "A new approach for designing and calibrating stochastic volatility models for optimal delta-vega hedging of exotics".Link: <URL url="http://www.sungard.com/REECH/menus/docum...

Hi,Searching function is down again!"Sorry, an error occurred while performing your search. Error Code: 109 "Thanks in advance!zhouqj

<t>As Findus said, the USD/JPY's delta convention is delta=BSDelta-BSPrice/spot. (for system which USD is seted to as report currency)So you should use this delta formula(not BS formula in textbook), and then use numerical method such as Newton Raphson to implied the strike. Or you could also use th...

<t>HiThere are many range-based volatility estimator, such as Parkinson[1980], Garman and Klass[1980], Rogers and Satchell[1991] and Yang and Zhang[2000], can be used to estimate the volatility of BS world.I am interest in practice which one is most popular, and why?By the way, does someone also use...

<t>Hi Paul,I also confuse about what you say.You mentioned that cross gamma can help someone know the error of correlation estimation.But when calculating the cross gamma, one must take the "wrong correlation" into account.How this cross gamma calculating with wrong correlation can help me know the ...

<t>I don't think that Heston can pricing barrier option well comparing to market price.I don't know where is paper comparing Heston price with market price of barrier type optios. But I know Lipton's article: " universal barrier" in Risk book, have an example in pricing double no touch option. In th...

Hi Alan & Paul,Thanks a lot!Good reference for me to further study.zhouqj

Hi All,I am very appriatiate that someone cam tell me where can I find out the formula to calculate "expected stopping time" of barrier option.Or send a copy to me if someone have the formula.Thanks in advance!vincentjou@gmail.comzhouqj

<t>Hi All,I test some market exotic trades with vanna-vomma, local and stochastic model.An interesting result is that local and stochastic model always give me price greater than market price of Double No Touch option.In this case, vanna-vomma model may give reasonable price.About these two model, I...

Maya Briani's PHD Thesis, "Numerical methods for option pricing in jump-diffusion markets". =>Here you can find more detail about numerical methodI find many useful things from here to help me implementing jump diffusion model for exotic options.Hope this help.

<t>I have implemented Heston model using Crank-Nicholson FDM, and done many calibrations of FX option market, especially in USD/JPY.My experiance showed me that "2*kappa*theta" always small than "(vol*vol)".I use the same calibration method as the topic "Heston's Stochastic Volatility Model Applied ...

Hi,I get error msg "Error Code: 109" when searching.Pls help me.vincent

<r>Hi LostInTransl,I have some expierence of first three models you list in FX market.But my tests tell me these three models work well with one touch option type.(I use trinomial tree for local vol model, and crank-nicolson FDM for heston model)While test heston model, I find calibration (from mark...