Fx options strike delta
I am trying to compute the calibration of an FX market volatility surface, and especially I delta to retrieve the strikes from the deltas quoted. I don't have any trouble reverse-engineering the formulas for non premium-adjusted deltas. However, for many currency pairs, the convention is to use premium-adjusted deltas, which are not monotonic in strike. For example, for strike premium-adjusted forward delta Source: Clark - FX Option Pricing - Chap3 p Following this delta, p One common solution to this problem is to search for strikes corresponding to deltas which are on the right hand side of the delta maximum. By posting options answer, you agree to the privacy policy and terms of service. Sign up or log in to customize your list. Stack Exchange Inbox Delta and Badges. Questions Tags Users Badges Unanswered. Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute: Here's how it works: Anybody can ask a question Anybody can answer The best answers are voted up and rise to the top. Conversion of a premium-adjusted delta to a strike. What is the argument or options intuition behind this statement? I guess strike intuition behind options is that the market tends to quote out-of-the-money options. For calls, these are on strike upside and thus right of the max. Sign up or log in StackExchange. Sign up using Facebook. Sign up using Email and Password. Post as a guest Name. Quantitative Finance Stack Exchange works best with JavaScript enabled. MathOverflow Mathematics Cross Validated stats Theoretical Computer Science Physics Chemistry Biology Computer Science Philosophy more 3. Meta Stack Exchange Stack Apps Area 51 Stack Overflow Talent.
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