Open AccessVolatility of Volatility: A Simple Model‐Free Motivation
Author(s) -
Drimus Gabriel G.
Publication year - 2012
Publication title -
wilmott
Language(s) - English
Resource type - Journals
eISSN - 1541-8286
pISSN - 1540-6962
DOI - 10.1002/wilm.10149
Subject(s) - volatility (finance) , volatility smile , volatility swap , volatility risk premium , econometrics , implied volatility , economics , simple (philosophy) , stochastic volatility , forward volatility , local volatility , financial economics , philosophy , epistemology
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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