Search Results - subject:"vanna- volga method"

On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective

Hertrich, Markus; Zimmermann, Heinz - 2015

The sheer existence of EUR/CHF put options with strike prices below the EUR/CHF 1.20 ﬂoor, trading at non-zero cost, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 and abandoned on January 15, 2015. We estimate...

Persistent link: https://www.econbiz.de/10011390718

On the credibility of the Euro/Swiss Franc floor : a financial market perspective

Zimmermann, Heinz; Hertrich, Markus - 2015

The sheer existence of EUR/CHF put options with strike prices below the EUR/CHF 1.20 floor, trading at non-zero cost, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 and abandoned on January 15, 2015. We estimate...

Persistent link: https://www.econbiz.de/10011569649

On the credibility of the Euro/Swiss Franc floor : a financial market perspective

Hertrich, Markus; Zimmermann, Heinz - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 567-578

Persistent link: https://www.econbiz.de/10011708093

The vanna - volga method for derivatives pricing.

Janek, Agnieszka - Volkswirtschaftliche Fakultät, … - 2011

This Master thesis highlights some basic features and applications of the vanna-volga method and its accuracy when … two versions of the vanna-volga method – the exact vanna-volga method and the simplified vanna-volga method. We review a … very common vanna-volga variation used to price the first-generation exotics and the application of the vanna-volga method …

Persistent link: https://www.econbiz.de/10009422094