Volatility-of-Volatility : A Simple Model-Free Motivation
Gabriel G. Drimus
Institute of Banking and Finance, University of Zürich
January 18, 2011
Wilmott Magazine, September 2012
Our goal is to provide a simple, intuitive and model-free motivation for the importance of volatility-of-volatility in pricing certain kinds of exotic and structured products.
Number of Pages in PDF File: 8
Keywords: volatility of volatility, variance derivatives, exotic options, structured products
JEL Classification: C63, G13Accepted Paper Series
Date posted: January 23, 2011 ; Last revised: November 7, 2012
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