Bund options pricing/implied vols

Discussion in 'Options' started by sync97, May 13, 2012.

  1. sync97

    sync97

    What pricing formula do you use to figure out implied vols on the Bund options? Black76?
     
    #1     May 13, 2012
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  2. sle

    sle

    yup. if you are looking for yield vol, just do the duration adjustement trick
     
    #2     May 14, 2012
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