Vanna Volga option pricing
2016-08-23
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In the foreign exchange options market, there are generally three volatility quotes that can be used for a given market maturity: Delta neutral across delta 25 calls and inputs, and Vega weighted butterfly delta 25 with risk reversal. The application of the vannevolga pricing method enables us to derive the implied volatility of any option strike, especially for those set by the 25 delta base range put, call quotes. For the first time, this spreadsheet introduces the trading strategy, basic options and the price of Black Scholes option with "Greek alphabet", and then outlines the vannavolga method to construct the implied volatility curve of FX option.
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