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Counterexamples for FX Options Interpolations -- Part I

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  • Jherek Healy

Abstract

This article provides a list of counterexamples, where some of the popular fx option interpolations break down. Interpolation of FX option prices (or equivalently volatilities), is key to risk-manage not only vanilla FX option books, but also more exotic derivatives which are typically valued with local volatility or local stochastic volatilility models.

Suggested Citation

  • Jherek Healy, 2025. "Counterexamples for FX Options Interpolations -- Part I," Papers 2512.19621, arXiv.org.
    • Handle: RePEc:arx:papers:2512.19621
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    File URL: http://arxiv.org/pdf/2512.19621
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