  Recent years have seen an emerging class of structured financial products
based on options linked to dynamic asset allocation strategies. One of the most
chosen approach is the so-called target volatility mechanism. It shifts between
risky and riskless assets to control the volatility of the overall portfolio.
Even if a series of articles have been already devoted to the analysis of
options linked to the target volatility mechanism, this paper is the first, to
the best of our knowledge, that tries to develop closed-end formulas for
VolTarget options. In particular, we develop closed-end formulas for option
prices and some key hedging parameters within a Black and Scholes setting,
assuming the underlying follows a target volatility mechanism.
