Generalized Vanna-Volga Method and its Applications

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-06-25 DOI:10.2139/ssrn.1186383

Yuriy Shkolnikov

引用次数: 7

Abstract

We give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying. The method remains applicable in cases of delayed or misaligned expiries and absolute dividends. It is also applied to cases of time-dependent instantaneous volatility, multiple underlying assets and random interest rates. We also offer computation of the underlying volatility from market data and most valuable correction using more than three traded options.

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广义Vanna-Volga方法及其应用

我们对Vanna-Volga市值计价波动微笑修正在单一标的欧洲期权合约定价中的应用进行了一般处理。该方法仍然适用于延迟或不一致到期和绝对股息的情况。它也适用于时间相关的瞬时波动，多重标的资产和随机利率的情况。我们还提供基于市场数据的潜在波动的计算和使用三个以上交易期权的最有价值修正。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets