Vanna-Volga pricing for single and double barrier FX options
J. Mart\'in Ovejero
TL;DR
This paper presents a unified approach to Vanna-Volga pricing for single and double barrier FX options, deriving their values and Greeks with closed-form formulas for improved accuracy and efficiency.
Contribution
It introduces a comprehensive framework for barrier FX options pricing using Vanna-Volga method, including explicit formulas for key sensitivities.
Findings
Closed-form formulas for barrier FX options and Greeks.
Unified treatment enhances pricing accuracy and computational efficiency.
Applicable to both single and double barrier options.
Abstract
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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Taxonomy
TopicsStochastic processes and financial applications