Recent content by Ronaldo

[\Delta_{forward} e^{rT}]}>1 ? Hi Bob, I have a pratical doubt in these equations, when we calculate the strikes using the surface. Sometimes [\Delta_{forward} e^{rT}]}>1 so N^{-1} does not work. In general this happen when we have a long tenor option and deltas very high"deep in the money...

Introductions Say hi to the Quantnet Community Hello, my name is Ronaldo, nowadays I am an FX and Interest rates trader in Brazil.