Foreign Exchange Option Pricing: A Practitioner's Guide

List of Tables

Table 1.1 Currency pair quotation conventions and market terminology

Table 1.2 Currency pair exceptions to T + 2 settlement

Table 1.3 Cutoff times

Table 2.1 European digitals

Table 3.1 Delta conventions for common currency pairs

Table 3.2 Premium currency for major currency pairs

Table 3.3 Sample market volatility surface for EURUSD

Table 3.4 Sample market volatility surface for USDJPY

Table 3.5 1Y EURUSD smile with polynomial delta parameterisation

Table 3.6 1Y EURUSD Black–Scholes prices under delta polynomial

Table 3.7 1Y EURUSD smile with SABR parameterisation

Table 3.8 1Y EURUSD Black–Scholes prices under SABR

Table 4.1 Flat forward volatility interpolation by smile strike

Table 4.2 EURUSD market strangle and risk reversal at 1Y and 2Y

Table 4.3 EURUSD smile at 1Y and 2Y

Table 4.4 EURUSD smile at 1Y and 2Y with consistent market conventions

Table 4.5 Interpolated 18M EURUSD smile

Table 4.6 Typical term structure of volatility on a Friday

Table 4.7 Sample shortdated EURUSD day weights

Table 4.8 Sample intraday EURUSD weights

Table 5.1 A trivial upward sloping two-period term structure of implied volatility

Table 5.2 Forward volatility consistent with upward sloping implied volatility

Table 5.3 Implied and forward volatilities for a typical ATM volatility structure

Table 5.4 Example of implied volatility surface with convexity only beyond 1Y

Table 5.5 Example of local volatility surface with convexity only beyond 1Y

Table 6.1 Common stochastic volatility models ...