maybe those are only liquid in OTM, and some FX options are traded in PSE and CME. I am not sure, hope you find out soon.

can i ask you a silly question? is FX rate to be the underlying for this FX options?

Not clear about the concept, what's meaning of the FX caplet? the cap of rate?

is it like interest rate caplet?

FX哪来的caplet

FX  implied vol的报价bloomberg，reuters都有

ICAP，TTKL什么的

惯例是25 delta risk reversal, butterfly

还有你马甲实在太多了

[此贴子已经被作者于2008-7-23 1:39:30编辑过]

ok, i made a mistake, but your guys should konw what i said, right?

 cap or floor, i mean single barrier option on FX!!!!!!!!!!!!!!!!!!!!!!!

I did not find any quotes about single barrier option of FX.  so ,,,,,,,,

If using delta hedging, it is really convenient to hedge double barrier option with FRA, Forward, or currency swap.

but the hedge strategy is ony delta hedge.  对冲后的portfolio确实做到了forward delta接近0

但是这仅仅是数值上的对冲。

  所以我想使用 single barrier option 来对冲试试。不知道是否这些singles有流动性

我没马甲啊，晕，你搞错了把

呵呵，数值hedge，我们已经很完备了，系统自动可以实现delta，gamma，vega 这些东东，交易员可以任意选择tenors，计算任意tennor点的foward delta 等

最近看了一个人写的hedge，从payoff replicate角度考虑的，不是数值greek hedge，所以想问问single barrier是否流动。

我马甲？，没错mitbbs我有个，wilmott我有个，那是不同的论坛啊。 quanthr我没

bjork不是我啊，是个牛人啊，数学奥赛的，本科毕业去美国4年不到就拿了数学金融PhD

你有兴趣？