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Vanna-Volga pricing for single and double barrier FX options by Ovejero, J. Martín is a scholarly article available to read on EtoBox.

What is Vanna-Volga pricing for single and double barrier FX options about?

In this paper, we provide a unified treatment of the Vanna-Volga pricing technique. We derive the value of single and double barriers FX options, as well as closed formulas for the Delta, Vega, Vanna and Volga of those contracts.

Author

Ovejero, J. Martín

Published

2022

Language

EN