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dc.contributor.authorWystup, Uween_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:04:20Z-
dc.date.available2010-09-24T09:04:20Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/40192-
dc.description.abstractThe 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.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 11en_US
dc.subject.ddc330en_US
dc.subject.stwDevisenoptionsgeschäften_US
dc.subject.stwVolatilitäten_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwTheorieen_US
dc.titleVanna-volga pricingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn573774811en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:11-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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