A guide to FX options quoting conventionsA guide to FX options quoting conventions
Faculty of Sciences. Mathematics and Computer Science
2010New York, 2010
The journal of derivatives. - New York
18(2010):2, p. 58-68
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.