Zobrazeno 1 - 1
of 1
pro vyhledávání: '"Ovejero, J. Martín"'
Autor:
Ovejero, J. Martín
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.
Comment: 19 pag
Comment: 19 pag
Externí odkaz:
http://arxiv.org/abs/2211.12652
