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Making money from FX volatility

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  • Stephane Knauf

Abstract

As 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.

Suggested Citation

  • Stephane Knauf, 2003. "Making money from FX volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 48-51.
  • Handle: RePEc:taf:quantf:v:3:y:2003:i:3:p:48-51 DOI: 10.1088/1469-7688/3/3/606
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.

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