In their seminal work `Robust Replication of Volatility Derivatives,' Carr and Lee show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset's volatility process is independent of the Brownian motion that drives the asset's price. Additionally, they propose a correlation immunization method that minimizes the pricing and hedging error that results when the correlation between the risky asset's price and volatility is nonzero. In this paper, we perform a number of Monte Carlo experiments to test the effectiveness of Carr and Lee's immunization strategy. Our results indicate that the correlation immunization method is an effective means of reducing pricing and hedging errors that result from nonzero correlation.
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