Info about adaptVanDelta argument in VannaVolgaBarrierEngine

Posted by Igor Swie on Apr 20, 2017; 3:39pm
URL: http://quantlib.414.s1.nabble.com/Info-about-adaptVanDelta-argument-in-VannaVolgaBarrierEngine-tp18218.html

Hello,

I've seen that there is an additional correction to the Vanna Volga one when setting the adaptVanDelta to true in the VannaVolgaBarrierEngine.

I haven't found this correction in usual textbooks.

Who can explain this extra correction?

 

Thanks

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