Looking for Duanmu's paper

SgtPepper · December 14th, 2007, 10:12 am

Hi all, could anyone help me to get the following paper: "Rational Pricing of Options on Realized Volatility". Thanks folks.SgtPepper

phaedo · December 14th, 2007, 12:58 pm

I only had a copy of his conference slides (2004) - I do not know that his ideas have been formalised in an academic paper, but I believe he's still at ML so you could try your luck directlyAlternatively you might get a copy of the conference proceedings through ICBII really like Duanmu's approach - my only problem is that he imposes a root-time term structure of volatility of volatility, which is not far from the truth but too restrictiveSB

SgtPepper · December 14th, 2007, 2:22 pm

Thanks for your quick answer Phaedo; could you be so kind so as to send me the copy of the conference slides ? It would be very useful to me. Thks.