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Strike from volatility and delta-with-premium. (English) Zbl 1454.91292

The author gives an efficient two-step procedure to compute the strike implied by the quote pair of a Black volatility and a delta-with-premium, thus effectively providing an analytical solution to this ubiquitous problem in Forex markets.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
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[7] Jäckel, P. , Let’s be rational. Wilmott Magazine, January, 2015a, pp. 40-53. First published in November 2013 at www.jaeckel.org . · doi:10.1002/wilm.10395
[8] Jäckel, P. , Let’s be rational reference source code, 2015b. Available online at: www.jaeckel.org .
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[10] Reiswich, D. and Wystup, U. , A guide to FX options quoting conventions. J. Deriv. , November, 2010, 18 , 58-68. doi: 10.3905/jod.2010.18.2.058. · doi:10.3905/jod.2010.18.2.058
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