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Counterexamples for FX Options Interpolations -- Part I

Published 22 Dec 2025 in q-fin.PR, q-fin.CP, and q-fin.RM | (2512.19621v1)

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.

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Authors (1)

  1. Jherek Healy 

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