BOSSENS, FRÉDÉRIC; RAYÉE, GRÉGORY; SKANTZOS, NIKOS S.; … - In: International Journal of Theoretical and Applied … 13 (2010) 08, pp. 1293-1324
We study Vanna-Volga methods which are used to price first generation exotic options in the Foreign Exchange market. They are based on a rescaling of the correction to the Black–Scholes price through the so-called "probability of survival" and the "expected first exit time". Since the methods...