@techreport{Wystup2008Vanna,
abstract = {The vanna-volga method, also called the traders rule of thumb is an empirical procedure that can be used to infer an implied-volatility smile from three available quotes for a given maturity. It is based on the construction of locally replicating portfolios whose associated hedging costs are added to corresponding Black-Scholes prices to produce smile-consistent values. Besides being intuitive and easy to implement, this procedure has a clear financial interpretation, which further supports its use in practice.},
address = {Frankfurt, M.},
author = {Uwe Wystup},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Devisenoptionsgesch\"{a}ft; Volatilit\"{a}t; Optionspreistheorie; Theorie},
language = {eng},
number = {11},
publisher = {Frankfurt School of Finance & Management},
title = {Vanna-volga pricing},
type = {CPQF Working Paper Series},
url = {http://hdl.handle.net/10419/40192},
year = {2008}
}
