volga,vanna,rho,phi: explicit formulas for reverse barrier

earlyexercise · December 19th, 2003, 12:05 pm

Anyone has a hint for me where to find a reference ?The links I checked from earlier posts about this topic didn't tell anything about these greeks...Thanks a lot !

earlyexercise · December 20th, 2003, 12:37 pm

Nobody a clue ?It's christmastime...

FDAXHunter · December 20th, 2003, 12:42 pm

Vomma: dVega/dVolVanna: dVega/dSRho: dV/dR(dom)Phi: dV/dR(for)Muhahhahahahahahahahaha

earlyexercise · December 20th, 2003, 3:43 pm

At least Fdax has a heart !But it seems like I gotta spend christmas calculating partial derivatives...

sgelb · January 2nd, 2004, 9:40 am

There is a really good thread with Volga and Vanna formulas around on this board somewhere.. its about 1.5yrs old... try partial derivatives or higher order greeks..

rpfeynman · January 2nd, 2004, 12:20 pm

There is a paper "Managing Smile Risk" by Pat Hagan etc. which may help.

sgelb · January 2nd, 2004, 4:12 pm

No the thread I speak of has easy closed form stuff..