Counterexamples for FX Options Interpolations -- Part I
Counterexamples for FX Options Interpolations – Part I ArXiv ID: 2512.19621 “View on arXiv” Authors: 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. Keywords: FX Options, Volatility Interpolation, Local Volatility, Stochastic Volatility, Risk Management, Foreign Exchange (FX) ...