Vanilla Options

We revisite the pricing of plain vanilla FX option using liquid instruments for market coherent estimation. This paper discusses the volatility surface construction from option trading strategies which provides a way to inter polate that volatility at any strike from the surface. We show how to derive a trike and its corresponding implied Volatility out of the core region and uses the well-known non free arbitrage criterias to their consistency. Finally, we see how to price th eplain vanilla FX option with any strike between the extra lower and upper points.