VarSwapPrice: Pricing a variance swap on an equity index
Version 1.0

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

Package details

AuthorPaolo Zagaglia
Date of publication2012-03-15 18:43:58
MaintainerPaolo Zagaglia <[email protected]>
Package repositoryView on CRAN
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VarSwapPrice documentation built on May 29, 2017, 6:40 p.m.