FX Volatility Data
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24.09.2021
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. A volatility surface is derived from quoted volatilities that provides a way to interpolate an implied volatility at any strike and maturity.
Further information
Further reading
https://timxiao1203.github.io/FxVol-5.pdf
Language
English
DOI
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