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Volatility Trading

P Carr, D Madan, Towards a Theory of Volatility Trading, NYU Working Paper, 2002.

Demeterfi K, Derman E, Kamal M, Zou J, "More Than You Ever Wanted To Know About Volatility Swaps", March 1999, Goldman Sachs Quantitative Strategies Research Notes.

Menachem Brenner, 2001. "The Price of Options Illiquidity," Journal of Finance, American Finance Association, vol. 56(2), pages 789-805, 04.

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