Serving the Quantitative Finance Community
ADR stock volatility skew
Does anyone know of a paper outlining how to construct ADR stock volatility skew, based off the skews exhibited in the FX Options market and the local stock equity market? Especially useful in the absence of ADR option liquidity and implied vol information. I seem to recall coming across such a paper a few years back, but I can't remember whether it was in-house/proprietary research or something from academia in the public domain.