Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

The currency option markets are replete with conventions that strongly affect the way in which models are used to price these options. This is rarely discussed in texts. We will review some of these conventions and show how pricing formulae are usually adapted to account for them. As we do so, it will become apparent how useful the Black-Scholes formula can be in trading, despite all its failings as a model.

Speaker: Doug Costa, Susquehanna International Group