English, Article, Journal or magazine article edition: Vanna-Volga methods applied to FX derivatives: from theory to market practice Frédéric Bossens; Grégory Rayée; Nikos S. Skantzos; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/111291
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Vanna-Volga methods applied to FX derivatives: from theory to market practice
Author
  • Frédéric Bossens
  • Grégory Rayée
  • Nikos S. Skantzos
  • Griselda Deelstra
Physical Description
  • preprint
Notes
  • We study Vanna-Volga methods which are used to price first generation exotic options in the Foreign Exchange market. They are based on a rescaling of the correction to the Black-Scholes price through the so-called `probability of survival' and the `expected first exit time'. Since the methods rely heavily on the appropriate treatment of market data we also provide a summary of the relevant conventions. We offer a justification of the core technique for the case of vanilla options and show how to adapt it to the pricing of exotic options. Our results are compared to a large collection of indicative market prices and to more sophisticated models. Finally we propose a simple calibration method based on one-touch prices that allows the Vanna-Volga results to be in line with our pool of market data.
  • Vanna-Volga; Foreign Exchange; exotic options; market conventions.
  • RePEc:sol:wpaper:09-016
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment