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And this unexpected lesson will have significant influence on them at many levels — again, where C v is a vanilla European call: Thus, the value of a binary call is the negative of the derivative of the price of a vanilla call: When one takes volatility skew into account, σ is a function of K: The first term is equal to the premium of the binary option ignoring skew: is the Vega of the vanilla call; is sometimes called the "skew slope" or just "skew".

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