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.

Install the latest version of this package by entering the following in R:
install.packages("VarSwapPrice")
AuthorPaolo Zagaglia
Date of publication2012-03-15 18:43:58
MaintainerPaolo Zagaglia <paolo.zagaglia@gmail.com>
LicenseGPL-3
Version1.0

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