Volatility-of-Volatility : A Simple Model-Free Motivation

Wilmott Magazine, September 2012

8 Pages Posted: 23 Jan 2011 Last revised: 7 Nov 2012

See all articles by Gabriel G. Drimus

Gabriel G. Drimus

Institute of Banking and Finance, University of Zürich

Date Written: January 18, 2011

Abstract

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.

Keywords: volatility of volatility, variance derivatives, exotic options, structured products

JEL Classification: C63, G13

Suggested Citation

Drimus, Gabriel G., Volatility-of-Volatility : A Simple Model-Free Motivation (January 18, 2011). Wilmott Magazine, September 2012. Available at SSRN: https://ssrn.com/abstract=1743495 or http://dx.doi.org/10.2139/ssrn.1743495

Gabriel G. Drimus (Contact Author)

Institute of Banking and Finance, University of Zürich ( email )

Plattenstrasse 14
Zürich, CH-8032
Switzerland

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