Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2, 2022 erstellt
Description:
This paper follows up an earlier note that introduced, from a theoretical standpoint, the possibility of isolating a risk-premium on the so-called vol-of-vol parameter for cross-asset derivatives. In this report we discuss the more practical, trading-oriented applications of the premium, and a number of broadbased conclusions relevant for investors, hedgers and volatility traders. The statistical properties of short vol-of-vol trades are briefly introduced