wilmott.com

I am looking for historical market prices of OTC FX vanilla options and barrier options (KO, OT, DNT), if possible over a period of several years. In their 2007 article, Carr and Wu mentioned a large sample of historical prices (for FX vanillas only) from 1996 to 2004, obtained from "several broker dealers and data vendors". Which data vendors specifically would be able to supply this kind of data?

Hey Marco,Standard & poors, Golden Source, interactive data but I would of course say check out Thomson Reuters' Quantitative and Event Driven Trading proposition, specifically the High Frequency Quantitative Research and Analytics elements http://thomsonreuters.com/products_serv ... y=515320:T

Thanks for your reply. Given that these options are mostly OTC, do you know if there really is such a thing as a "market price" for FX vanillas and exotics (as opposed to a price calculated with some bank's model)? Would one have to look for the prices at which these options were actually sold, i.e. a history of the bank's trades, or are these options so liquid that a MtM really exists for them?

There's a publicly available fx options data set from the BBA on their website. If you have access to Bloomberg you can also download historical fx options data from there.