Options are non-linear instruments with asymmetric payoff profiles and sensitivities to various risk factors like underlying price changes, time decay, and volatility (the Greeks).

• Delta normal is a linear approximation technique and is inappropriate because it fails to capture non-linear risks (like gamma and vega) inherent in options.
• Duration-convexity is specifically meant for fixed-income instruments, not FX options.
• Scenario analysis (or full revaluation methods) is the most appropriate technique as it can fully incorporate non-linearities and potential large movements in underlying risk factors, allowing management to see potential losses under varying extreme but plausible market scenarios.