On the volatility of volatility

Physica A: Statistical Mechanics and its Applications

Volumn 380, Issue 1-2, 2007, Pages 366-376

  Hsu, Stephen D H ^a   Murray, Brian M ^a  

^a UNIVERSITY OF OREGON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION METHODS; COSTS; STATISTICAL MECHANICS;

CHICAGO BOARD OPTIONS EXCHANGE (CBOE); VARIANCE; VOLATILITY;

ECONOMIC ANALYSIS;

EID: 34247843047     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.02.041     Document Type: Article

References (4)

1. K. Demeterfi, E. Derman, M. Kamal, J. Zou, More Than You Ever Wanted to Know About Volatility Swaps, Quantitative Strategies Research Notes, March 1999, Goldman, Sachs & Co.
2. P. Carr, L. Wu. A Tale of Two Indices, Working Paper, New York University, 2006.
3. Black F., and Scholes M. The pricing of options and corporate liabilities. J. Political Econ. 81 (1973) 637-654
4. Black F. Studies of stock price volatility changes. Proceedings of the 1976 American Statistical Association, Business and Economical Statistics Section (1976), American Statistical Association, Alexandria, VA 177-181