Pricing a variance swap on an equity index

Computes a portfolio of European options that replicates the cost of capturing the realised variance of an equity index.


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install.packages("VarSwapPrice")

1.0 by Paolo Zagaglia, 7 years ago


Browse source code at https://github.com/cran/VarSwapPrice


Authors: Paolo Zagaglia


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license



See at CRAN