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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Wystup, Uwe | en |
dc.date.accessioned | 2010-09-09 | - |
dc.date.accessioned | 2010-09-24T09:04:20Z | - |
dc.date.available | 2010-09-24T09:04:20Z | - |
dc.date.issued | 2008 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aCPQF Working Paper Series |x11 | en |
dc.subject.ddc | 330 | en |
dc.subject.stw | Devisenoptionsgeschäft | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Optionspreistheorie | en |
dc.subject.stw | Theorie | en |
dc.title | Vanna-volga pricing | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 829997393 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cpqfwp:11 | en |
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