Published December 3, 2023
| Version v1
Presentation
Open
Touch Option Model
Creators
Description
The valuation model of a touch option attempt to price Exotics with volatility smile surface. The idea behind Skew Touch is to build a hedging portfolio made of smile contracts (Call/Put or Risk Reversal /Butterfly) which, under volatility flatness assumption (ATM), matches Black-Scholes Vega and its derivatives with respect to FX spot and volatility, Vanna and Volga, of the target Touch Option.
Files
TouchOption.pdf
Files
(203.4 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:6b7f30ae91726c0ff294bc96fbd44428
|
203.4 kB | Preview Download |
Additional details
Identifiers
INFN OAR
- Sottoscrivo la dichiarazione legale e accetto l'informativa
- Yes