Making money from FX volatility
AbstractAs FX options become commoditized products, derivatives on the volatility itself, such as FVAs, have emerged allowing the expression of views on volatility without the burden of actively managing complex option portfolios. Stephane Knauf describes how the canny trader may seek to apply familiar trading strategies from other markets.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 3 (2003)
Issue (Month): 3 ()
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- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011.
"Spot and forward volatility in foreign exchange,"
Journal of Financial Economics,
Elsevier, vol. 100(3), pages 496-513, June.
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