s*****u
发帖数: 164 | 1 FX option strategies are commonly quoted in volatilities for ATM straddle,
25 delta butterfly (market strangle) and risk reversal, occasionally, 10
delta butterfly (market strangle) and risk reversal. Clearly, with straddle
and market strangle volatility quotes, one can get the prices for these two
strategies. When it comes to risk reversal, it seems that there is no model-
independent way to get the price for it, i.e., one has to assume a
parametric form for the volatility surface and calibrate from market
strangle to smile strangle, as described in Clark's book. Once this is done,
one can then get the price for the risk reversal strategy.
我的问题是，有什么办法可以直接从 risk reversal 的 market quote 不做上述的
calibration 就能得到它的价格吗？
万分感谢！ | p******i
发帖数: 1358 | | s*****u
发帖数: 164 | 3 看我的贴的图，给的确实是 vol
【在 p******i 的大作中提到】
: market quote的就是价格。。。
| w**********y
发帖数: 1691 | 4 OVML给的是价格
EURJPY USDJPY这两天很跌宕啊，risk reversal在这种情况下有什么用？ |
|
