Counterexamples for FX Options Interpolations -- Part II

Jherek Healy

Papers from arXiv.org

Abstract: This follow-up article analyzes the impact of foreign exchange option interpolation on the vanilla option implied volatilities. In particular different exact interpolations of broker quotes may lead to different implied volatilities at the 10$\Delta$ and 25$\Delta$ Puts and Calls.

Date: 2025-12
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