Vanna Volga pricing

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1	cutting edge. option pricing The vanna-volga method for implied volatilities European-style claims, is consistent with static-replication arguments. Finally, we derive first- and second-order approximations Add to Reading List Source URL: www.risk.net Language: English - Date: 2007-08-09 12:30:23 Finance Investment Implied volatility Volatility smile Black–Scholes Volatility Foreign-exchange option Fabio Mercurio Vanna Volga pricing Mathematical finance Financial economics Options