Serving the Quantitative Finance Community

 
User avatar
Jericho
Topic Author
Posts: 23
Joined: August 22nd, 2007, 3:14 pm

Pricing a Dual Digital OPtion

November 27th, 2022, 6:02 pm

HI All

Struggling to find a formula or an approximation on how to value these 

If I have 2 One Month ATM implied vols, say for EURGBP and GBPUSD and I know the Cross Vol and Implied Correlation too between the majors, can I now deduce a price or an approximation price?

Thanks in Advance
J.