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2022-11-23
Vanna-Volga pricing for single and double barrier FX options
J. Martín Ovejero
文献摘要
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.
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