End September 2007 Market-Consistent Asset Model Calibrations - USD Equities in Sterling Terms
Document ID: 2007-494
Published on: 1st October 2007
The model has been calibrated to implied volatilities on ATM S&P options. These have been converted into 'equivalent' Sterling volatilities using USD/GBP FX implied volatilities. A parametric form has been used to fit the entire term structure of volatilities.
