volatility Table and BS formula
volatility Table and BS formula
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4pie0 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: 4pie0
Original post: https://quant.stackexchange.com/questions/7418
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"?
I am confused with the notion of time.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: 4pie0 Source score (net votes, not local likes): 0 Original post: https://quant.stackexchange.com/questions/7418 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"? I am confused with the notion of time.
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