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]>
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")

Try the VarSwapPrice package in your browser

Any scripts or data that you put into this service are public.

VarSwapPrice documentation built on May 29, 2017, 6:40 p.m.