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.

Author
Paolo Zagaglia
Date of publication
2012-03-15 18:43:58
Maintainer
Paolo Zagaglia <paolo.zagaglia@gmail.com>
License
GPL-3
Version
1.0

View on CRAN

Man pages

black_scholes
Black-Scholes pricing for call and put options
VarSwap
Pricing a variance swap of an equity index
VarSwapPrice-package
Pricing the variance swap of an equity index

Files in this package

VarSwapPrice
VarSwapPrice/MD5
VarSwapPrice/R
VarSwapPrice/R/VarSwap.R
VarSwapPrice/NAMESPACE
VarSwapPrice/man
VarSwapPrice/man/VarSwapPrice-package.Rd
VarSwapPrice/man/VarSwap.Rd
VarSwapPrice/man/black_scholes.Rd
VarSwapPrice/DESCRIPTION
VarSwapPrice/demo
VarSwapPrice/demo/example.R
VarSwapPrice/demo/00Index