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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Volatility-of-volatility : A simple model free motivation
Organization Unit
  • Gabriel Grigore Drimus
  • English
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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