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Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Volatility-of-volatility : A simple model free motivation |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | SSRN |
| Number | 1743495 |
| ISSN | 1556-5068 |
| Number of Pages | 8 |
| Date | 2011 |
| Abstract Text | 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. |
| Free access at | DOI |
| Digital Object Identifier | 10.2139/ssrn.1743495 |
| Other Identification Number | merlin-id:4242 |
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