Pricing a Dual Digital OPtion
Posted: 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.
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.