Using FX Volatility Skew to Assess the Implied Probability of Hard Brexit

Cross‐Currency Betting Arbitrage

“…Analyzing non-binomial models for the exchange rate -such as for instance the mixing models suggested in Clark & Amen (2018) and Hanke, Poulsen & Weissensteiner (2018). In this case, currency independent odds do not generally give arbitrage, but with reasonable, estimable distributions, it leads to approximate arbitrages or good deals; very high Sharpe ratios (above four).…”