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DXX


Total Posts: 1
Joined: Mar 2018
 
Posted: 2018-03-14 16:46
Hi all,

Say you have an implied volatility surface parameterized by delta (instead of strike or log forward-moneyness). Does anyone have a link for the formula for local volatility in this space? The below paper "FX Smile Modelling" mentions that it's possible but I was unable to find a derivation anywhere:

https://mathfinance.com/wp-content/uploads/2017/06/FXSmileModelling.pdf
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