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European Barrier options using Vanna Volga method
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ZM2022
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October 13th, 2022, 4:26 pm
European Barrier options using Vanna Volga method
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#1
October 14th, 2022, 4:08 pm
Hello
I am trying to price European Barrier FX option (at expiry Barrier option) using Vanna Volga method, the prices that I got is matching the market prices, but I cannot approximate the short maturities prices.
Thank you
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