VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE

DOI10.1142/S0219024910006212zbMath1203.91283arXiv0904.1074OpenAlexW3123541581MaRDI QIDQ3067166

Grégory Rayée, Nikos S. Skantzos, Griselda Deelstra, Frédéric Bossens

Publication date: 20 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1074

zbMATH Keywords

foreign exchangeexotic optionsmarket conventionsVanna-Volga

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A multivariate stochastic volatility model with applications in the foreign exchange market ⋮ Multivariate FX models with jumps: triangles, quantos and implied correlation

Cites Work

• The Pricing of Options and Corporate Liabilities
• Interest rate models -- theory and practice. With smile, inflation and credit
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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