Create VannaVolga
pricer object for
Vanilla
, Barrier
,
DoubleBarrier
, Touch
, or
DoubleTouch
instrument using BlackScholes
model
Create and price a Vanilla
, Barrier
,
DoubleBarrier
, Touch
, or
DoubleTouch
instrument object with a
BlackScholes
model and a VannaVolga
pricing
method using this workflow:
Use fininstrument
to create a Vanilla
,
Barrier
,
DoubleBarrier
, Touch
, or
DoubleTouch
instrument object.
Use finmodel
to specify
the BlackScholes
model for the Vanilla
, Barrier
,
DoubleBarrier
, Touch
, or
DoubleTouch
instrument.
Use finpricer
to
specify the VannaVolga
pricer object for the
Vanilla
, Barrier
,
DoubleBarrier
, Touch
, or
DoubleTouch
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available instruments, models, and pricing methods for a
Vanilla
, Barrier
,
DoubleBarrier
, Touch
, or
DoubleTouch
instrument, see Choose Instruments, Models, and Pricers.
price | Compute price for equity instrument with VannaVolga
pricer |
[1] Bossens, Frédéric, Grégory Rayée, Nikos S. Skantzos, and Griselda Deelstra. "Vanna-Volga Methods Applied to FX Derivatives: From Theory to Market Practice." International Journal of Theoretical and Applied Finance. 13, no. 08 (December 2010): 1293–1324.
[2] Castagna, Antonio, and Fabio Mercurio. "The Vanna-Volga Method for Implied Volatilities." Risk. 20 (January 2007): 106–111.
[3] Castagna, Antonio, and Fabio Mercurio. "Consistent Pricing of FX Options." Working Papers Series, Banca IMI, 2006.
[4] Fisher, Travis. "Variations on the Vanna-Volga Adjustment." Bloomberg Research Paper, 2007.
[5] Wystup, Uwe. FX Options and Structured Products. Hoboken, NJ: Wiley Finance, 2006.