Counterexamples for FX Options Interpolations -- Part I
Pricing of Securities
2025-12-23 v1 Computational Finance
Risk Management
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.
Cite
@article{arxiv.2512.19621,
title = {Counterexamples for FX Options Interpolations -- Part I},
author = {Jherek Healy},
journal= {arXiv preprint arXiv:2512.19621},
year = {2025}
}