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Counterexamples for FX Options Interpolations -- Part II
Published: December 22, 2025 |
arXiv ID: 2512.19625v1
By: Jherek Healy
Potential Business Impact:
Makes money predictions more accurate for trading.
Business Areas:
Prediction Markets
Financial Services
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$Δ$ and 25$Δ$ Puts and Calls.
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Page Count
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Category
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