Pricing Vanilla Options in FX
Posted: December 11th, 2007, 11:47 am
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