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3
votes
1answer
393 views

MTM Hedging Performance of Vanna-Volga

I was wondering how well Vanna-Volga (VV) Implied Vols "perform". So I experimented with the following option parameters $$S_0=100,\ K=92,\ r=0.03,\ q=0.01,\ T=2$$ and VV parameters $$K_1,K_2,K_3=...
0
votes
1answer
2k views

From Delta to moneyness or strike

If I have volatility smile quoted with respect to the delta of an option on the forward, how can I convert this delta into the moneyness or strike of the option? Is there any bult-in function of ...
6
votes
3answers
2k views

Variance swap replication and variance vega

Noob here. I've been trying to gain a better understanding of variance swaps and what better way than to replicate it with a portfolio of better understood instruments. I have read the GS 1999 ...
1
vote
1answer
227 views

Volatility tools / web sites?

Could someone give recommendations regarding volatility tools / web sites that they find useful? I am looking for information that my brokerage platform does not provide. Specifically, I want to see ...