一千萬個為什麽

搜索

計算Black Scholes delta的罷工

我有外匯市場中的增量及其相應的波動率列表,但我想從三角洲走向執行價格。 在本課題中,正在討論類似的問題

如何計算給定增量的執行價格或隱含波動率?

The way I understand it, the strike price can be found like this: enter image description here

我的方法是否正確?如是; pleace幫助我理解術語N(d_1),所以我可以繼續解決過程嗎?

Edit:
I basically want to create the volatility smile in (strike,vol)-graph from data found by Bloombergs OVDV function: enter image description here

所以也許有一種簡單的方法可以做到這一點

最佳答案

這比上面提供的答案稍微復雜一點,因為這是FX和確定罷工事項的慣例。

https://www.researchgate.net/publication/275905055_A_Guide_to_FX_Options_Quoting_Conventions

Most pairs take premium in the foreign (i.e. left hand side) currency. This means that you are paying for an option in the underlying - like paying for an IBM call option with IBM shares - and those shares can be viewed as part of the delta - as a result most pairs use the "include premium" convention. The details are in Wystup's paper and you should read it. The math is easy and it is nice to see everytrhing spelled out for you. The only pairs that "Exclude Premium" are EURUSD, GBPUSD, AUDUSD, NZDUSD - so these calculate delta in the usual way. Also in FX for BBG, the convention is to typically use spot delta for expiries less than a year and forward delta for expiries >= 1 year. Otherwise onlyvix's answer above is fine if you assume that the foreign risk free rate is 0.0%. The actual delta is $e^{-r_ft}N(d1)$ in the exclude premium case.

轉載註明原文: 計算Black Scholes delta的罷工