  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-Scholes price through the so-called `probability of
survival' and the `expected first exit time'. Since the methods rely heavily on
the appropriate treatment of market data we also provide a summary of the
relevant conventions. We offer a justification of the core technique for the
case of vanilla options and show how to adapt it to the pricing of exotic
options. Our results are compared to a large collection of indicative market
prices and to more sophisticated models. Finally we propose a simple
calibration method based on one-touch prices that allows the Vanna-Volga
results to be in line with our pool of market data.
