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by Skog
November 14th, 2011, 7:08 pm
Forum: Trading Forum
Topic: Delta Hedging with Implied vs. "Actual" Vola
Replies: 6
Views: 19947

Delta Hedging with Implied vs. "Actual" Vola

This article by Paul and Riaz would be a good start.http://www.math.ku.dk/~rolf/Wilmott_WhichFreeLunch.pdf
by Skog
November 10th, 2011, 9:24 pm
Forum: Trading Forum
Topic: FX Options on DKKNOK
Replies: 5
Views: 24453

FX Options on DKKNOK

<t>QuoteOriginally posted by: ZibiI could use the cross though USD but there are two problems with it:1) USDDKK or USDNOK is less traded 2) There are neither RR nor BF quoted for USDDKK. So I'm not able to obtain the smile on the USDDKK surface.An old thread, but why not add my first post...You may ...