Fr\'ed\'eric Bossens; Gr\'egory Ray\'ee; Skantzos, Nikos S. - arXiv.org - 2009
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...