Volatility-of-Volatility : A Simple Model-Free Motivation
Wilmott Magazine, September 2012
8 Pages Posted: 23 Jan 2011 Last revised: 7 Nov 2012
Date Written: January 18, 2011
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: Suggested Citation