chapter 6

FX Options: Valued


The Black–Scholes equation is one of the most significant equations that governs the value of financial derivatives, such as options, swaptions, etc. This chapter explains how to calculate the price of various financial derivatives using the Black–Scholes model, the underlying concepts and assumptions which are important to understand the working of this model. The contents of this chapter are organized in the following order:


1. Currency Option Market Mechanics in Real World

2. Introduction to Black and Scholes

3. Option Premium Components

4. Option Pricing and Greeks

5. Volatility

6. Application of Option Greeks, Risk Reversal and Fly in Real Market Scenario


Option pricing techniques, ...

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