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Authors: Virmani, Vineet;

Reference No: F&A0531TEC Pages: 21 Published on: 5, February, 2016

Abstract: This note describes the intuition and the mathematics behind the Vanna-Volga method for pricing derivatives in the foreign-exchange markets. After building the intuition through the lens of risk neutral density and movement in volatility smile, the note explains the mathematics of the necessary adjustment to the Black-Scholes valuation formula in ... More

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