2009•SSRN Electronic JournalOpen access

Stochastic Volatility of Volatility in Continuous Time

Ole E. Barndorff–Nielsen, Almut E. D. Veraart

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Key concepts: Stochastic volatility, Forward volatility, Volatility (finance), Variance swap, Volatility swap, Implied volatility, Econometrics, SABR volatility model

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