Option Pricing With Volatility of Volatility : A Simple, Closed-Form Formula

This is the first paper to provide a simple, explicit formula (that doesn’t requirenumerical/computational methods) under stochastic volatility. The formulais as simple as the classical Black-Scholes pricing formula. Furthermore,this paper modifies the Black-Scholes model to make it consistent with theempirical reality. Moreover, it is the first paper to show that the option pricedepends on the volatility of the volatility using the classical Black-Scholesframework