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Derman Kani Tree and FX Options | Register To Post |
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| escobarch | Posted on: 2007/12/20 1:36 |
Just popping in   Joined: 2007/11/28 From: Posts: 1 |
Derman Kani Tree and FX Options If FX options are quoted in Vol. Is there a way to
use the vol directly in the Derman Kani Tree without converting them to price. Also when trying to find the strike price of an FX option given delta and sigma, Do we use N(d1) or S*e^-rt * N(d1)? I've seen both ways in papers. Thank You. esco |
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