Questions tagged [vanna-volga]
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Implied vs. Realized Vanna in Risk Reversal
I am trying to understand how to build an implied-to-realised Vanna trade using a risk reversal, as shown in the Hull's paper:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3968542
I have some ...
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Incorporating 10-delta RR and BFLY market quotes into Vanna Volga pricing
I am looking into pricing FX options using the Vanna Volga method. I am aware of the commonly referenced shortcomings of this approach and the superiority of SLV, still it is something I want to do.
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Vanna Volga Price of an Up and In Put
In the Vanna-Volga approach to pricing first generation exotics, such as single barriers, as I understand it the pricing is as follows:
Let $K,S_t < B$. I'll choose the ATM IV $I_{ATM}$ as the ...
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Calibration of LSV models to vanna/volga break-even
In this paper, Labordère, the author computes a probabilistic representation of the the vanna/vomma(volga) break-even levels. He mentions that they can be used to calibrate LSV models to historical ...
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Volga Vanna Pricing Approach
So when using this method to price exotic options , it's stated that we need to calculate the vanna (how vega changes with respect to change in spot prices) of the exotic option and the volga ( how ...
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Vanna-Volga consistency result
In the Vanna-Volga (VV) paper by Castagna and Mercurio they state that, once you build up a curve of prices by interpolating-extrapolating on $K$, you can recover the same exact curve by redefining ...
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How to explain the asymmetry of vanilla Volga?
I've plotted the charts of Volga of Vanilla Call/Put using finite difference method, and found they are the same, and an asymmetrical shape of observed for both. Any intuitive way to explain the ...
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