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Questions on XAUUSD option

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supernova
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Joined: October 19th, 2003, 3:44 am

Questions on XAUUSD option

November 24th, 2010, 1:21 am

To price the vanilla XAUUSD option, I have the following concerns:1. For USD yield curve, can I include Eurodollar futures in the construction?2. How to construct yield curve for XAU? using the XAU forward contracts?Thanks.
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daveangel
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Joined: October 20th, 2003, 4:05 pm

Questions on XAUUSD option

November 24th, 2010, 7:20 am

1. yes by all means2. why do you need a yield curve for gold ? all you need is an interest rate and lease rate. you get an interest rate from the yield curve and a lease from forward contracts on XAU..
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