3 papers
q-fin.PR2012
Local Volatility Pricing Models for Long-dated FX Derivatives
Griselda Deelstra, Grégory Rayée
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX d…
q-fin.PR2012
Pricing Variable Annuity Guarantees in a Local Volatility framework
Griselda Deelstra, Grégory Rayée
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the setti…
q-fin.PR2009
Vanna-Volga methods applied to FX derivatives : from theory to market practice
Frédéric Bossens, Grégory Rayée, Nikos S. Skantzos +1
We study Vanna-Volga methods which are used to price first generation exotic options in the Foreign Exchange market. They are based on a rescaling of the correction to the Black-Sc…