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Options on Variance (Vol of vol)
Anyone know of how one would calculate vol of vol to price an option on a variance swap?
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- hungryquant
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Options on Variance (Vol of vol)
chapter 53 of wilmott (on quantitative finance) has a pretty simple method of estimating the vol of vol based on a stochastic model and empirical data, its very simple to implement
Options on Variance (Vol of vol)
Which volume is that? Can I just buy the specific book?