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From volatility smiles to the volatility of volatility |
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| Authors: | Dumas Bernard Luciano Elisa |
| Affiliation: | 1.INSEAD, Fontainebleau, France ;2.University of Torino AXA Chair, Turin, Italy ;3.ESOMAS Department, University of Torino, Turin, Italy ;4.Collegio Carlo Alberto, Turin, Italy ; |
| Abstract: | Decisions in Economics and Finance - The paper reviews models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. It defines... |
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