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Volatility-of-volatility : A simple model free motivation


Drimus, Gabriel G (2011). Volatility-of-volatility : A simple model free motivation. SSRN Working Papers, University of Zurich.

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.

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.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
JEL Classification:C63, G13
Language:English
Date:2011
Deposited On:03 Feb 2012 12:20
Last Modified:17 Feb 2018 14:36
Series Name:SSRN Working Papers
Number of Pages:8
OA Status:Green
Related URLs:http://ssrn.com/abstract=1743495
Other Identification Number:merlin-id:4242

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