Title
A guide to FX options quoting conventions A guide to FX options quoting conventions
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
New York ,
Subject
Economics
Mathematics
Source (journal)
The journal of derivatives. - New York
Volume/pages
18(2010) :2 , p. 58-68
ISSN
1074-1240
Carrier
E
Target language
English (eng)
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.
E-info
https://repository.uantwerpen.be/docman/iruaauth/a0e1ef/e5b20689fe8.pdf