Decoupling a fx binary option

bringiton · November 17th, 2009, 8:15 pm

Is there any known functional transformation to decouple a binary option (say EURGBP) into two related components (say EURUSD and USDGBP - given appropriate adjusted strikes). I would greatly appreciate anyone directing me to papers or any other sources of information regarding this.

daveangel · November 17th, 2009, 9:10 pm

do you mean in terms of replication or in terms of vol ?

bringiton · November 18th, 2009, 1:53 pm

in terms of replication. thanks

daveangel · November 18th, 2009, 1:58 pm

you can't