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  1. 1 Zasępa P.

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Konstrukcja płaszczyzny uśmiechu zmienności na rynku walutowym

100%
Zasępa P.
Studia Ekonomiczne
|
2013
|
vol. 163
267-283
EN
The foreign exchange market is one of the most important segments of the financial market. FX options market is also one of the largest in the world. In the case of the basic model of option pricing - Merton Scholes model variability Blacks used for option pricing is constant and flat over time and does not change in relation to the strike price. The term structure of volatility is creating volatility surfaces for which variability has different levels depending on the date and the exercise price of options. This paper presents the characteristics of the exchange rate and pattern construction plane volatility smile in the currency market. Article characterized the basic concepts of interpolation and extrapolation of pairs trading volatility certain exchange rates
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