论文标题
vanna-volga的单个和双重障碍FX选项的定价
Vanna-Volga pricing for single and double barrier FX options
论文作者
论文摘要
在本文中，我们提供了Vanna-Volga定价技术的统一处理。我们得出了单个和双重障碍FX选项的价值，以及这些合同的Delta，Vega，Vanna和Volga的封闭公式。
In this paper, we provide a unified treatment of the Vanna-Volga pricing technique. We derive the value of single and double barriers FX options, as well as closed formulas for the Delta, Vega, Vanna and Volga of those contracts.
