Recent content by aligr

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    Volatility Surface

    OTC options.
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    Volatility Surface

    I am trying to implement VaR system for F/X option positions which uses historical simulation method. House not wiling to use the historical vol but implied vols. So each time I run the simulation I need to price to F/X Options.
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    Volatility Surface

    Thanks for reply, I am trying to price F/X options but I have to use the implied vols.
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    Volatility Surface

    Hello everyone, I am a litle desperate about transforming given deltas to strikes at the following "Volatility Surface". 10DPUT ... 25DPUT ... ATM ... 25DCALL ... 10DCALL 1W 14.481 ... 14.387 ... 15.250 ... 17.387 ... 19.281...
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