Publication
Title
A guide to FX options quoting conventions
Author
Abstract
The foreign-exchange options market is one of the largest and most liquid OTC derivatives markets in the world. The market has developed its own way to quote options, which differs significantly from other markets. A fact that is often ignored in the academic literature is that there are a number of different delta and at-the-money conventions. The authors introduce common FX market quoting conventions and describe in detail the subtleties embedded in these quotations.
Language
English
Source (journal)
The journal of derivatives. - New York
Publication
New York : 2010
ISSN
1074-1240
Volume/pages
18:2(2010), p. 58-68
Full text (publishers version - intranet only)
UAntwerpen
Faculty/Department
Publication type
Subject
External links
Record
Identification
Creation 28.02.2015
Last edited 10.12.2015