FX smile

gaelrobert · July 28th, 2004, 10:51 am

Hello,I am looking for the paper by Malz (97) you spoke about. Do you know where I can find it?Thanks a lot

robertral · October 6th, 2004, 6:09 am

DiceMan · November 11th, 2005, 11:34 am

We now have market data for delta = 0.1, 0.25, 0.5, 0.75, 0.9.I have two questions:1. How do you guys extrapolate between 0 and 0.1, and between 0.9 and 1?2. Do you find implied vol by iteration (start with, say ATM vol, find the delta, the vol, and carry on until the two vols are the same?)

las · April 24th, 2006, 5:51 am

How can I best intercoperate the 10 delta risk reversal and 10 delta straddle market data in the Malz paper?What other options are there?

las · April 25th, 2006, 4:04 am

Sometimes the 10 delta is also quted sometimes now.risk reversal is quoted forward delta adjusted. How do I incoperate this into Matz?Is there any other brighty ideas I can use?Lars

ancast · May 1st, 2006, 5:46 am

Try with this paper, which I talked about also in the "volatility smile, risk reversal and buttreffly" thread.http://www.fabiomercurio.it/consistentfxsmile.pdf

Alexx · May 5th, 2006, 3:54 am

see my answer in this topichttp://www.wilmott.com/messageview.cfm?catid=4&threadid=37625