VarSwapPrice: 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.

Package details

AuthorPaolo Zagaglia
MaintainerPaolo Zagaglia <[email protected]>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("VarSwapPrice")

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VarSwapPrice documentation built on May 2, 2019, 5:50 a.m.