Before revision: We introduce a new pricing mechanism for FX options, which is based on the idea of an intermediate pseudo-currency market. This approach allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX option prices across all markets.
After revision: We suggest an intermediate currency approach that allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX option prices across all markets.