Abstract
This chapter on options will delve a bit deeper into the subjects broached by the first chapter, and expand to cover foreign exchange (FX) options as well.
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Further reading
Antonio Castagna, F. M. (n.d.) ‘Consistent Pricing of FX Options’, www.fabiomercurio.it.
Castagna, A. (2009) FX Options and Smile Risk. Wiley.
Dimitri Reiswich, U. W. (n.d.) ‘FX Volatility Smile Construction’, No 20, CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
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© 2013 Andrew Sutherland and Jason Court
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Sutherland, A., Court, J. (2013). More Vanilla Options. In: The Front Office Manual. Global Financial Markets. Palgrave Macmillan, London. https://doi.org/10.1057/9781137030696_12
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DOI: https://doi.org/10.1057/9781137030696_12
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-44055-9
Online ISBN: 978-1-137-03069-6
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