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Pricing Vanilla Options in FX
Apologies if this has been posted before - have had a search and could not find anything I want to know what the formula for working out the approximate vol level for a vanilla option by hand isfor example :- USDTRY 2YR 1.1000 strike 10 dta Try call 2yr 25dta Flies 0.9 2yr 25dta RR 5.45Is there a formula for working out what the vol of this option should be ?Thanks for any help
Pricing Vanilla Options in FX
you would find material on this topic by these people definetly usefulUwe WystupFabio Mercurio & Castagna