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DB Guide to Risk Reversals: How to Value Risk Reversal Contracts and Identify Relative Value Trading Opportunities

by: Apurv Jain, Mark Stafford
Social Science Research Network Working Paper Series (29 November 2011)  Key: citeulike:12171685

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Abstract

How to value risk reversal contracts and identify relative value trading opportunities. We link skewness of the FX spot return distribution to the risk reversal contract and propose a methodology to value risk reversals with respect to implied and realized volatility to find relative value trading opportunities. Trading Skew in FX (From my days on the desk).


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