Hey all,
I need Implied volatility data for OTC options. They can be FX options. I am trying to calculate counterparty risk using Copulas. Any historical data for such OTC vols will be really helpful to calibrate my copula. Any other inputs are welcome...
Also, if anyone knows, usually what is the difference between IVs of OTC options and Listed Options?
Thanks!
I need Implied volatility data for OTC options. They can be FX options. I am trying to calculate counterparty risk using Copulas. Any historical data for such OTC vols will be really helpful to calibrate my copula. Any other inputs are welcome...
Also, if anyone knows, usually what is the difference between IVs of OTC options and Listed Options?
Thanks!