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CPQF Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/40192
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Wystup, Uwe | | en_US |
| dc.date.accessioned | | 2010-09-09 | | en_US |
| dc.date.accessioned | | 2010-09-24T09:04:20Z | | - |
| dc.date.available | | 2010-09-24T09:04:20Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/40192 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Frankfurt School of Finance & Management Frankfurt, M. | | en_US |
| dc.relation.ispartofseries | | CPQF Working Paper Series 11 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Devisenoptionsgeschäft | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Optionspreistheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Vanna-volga pricing | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 573774811 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
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