Recent content by volplayer

Hi, Haven't studied math for a while and thought I'd ask you for help. It regards implied correlation based on implied volatility for FX options. (b/c)=(a/c)/(a/b) Var(b/c) = Var(a/c)+Var(a/b) - 2*Sigma(a/c)*Sigma(a/b)*Corr(a/c,a/b) When breaking out the Corr(a/c,a/b) from the...