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.

AuthorPaolo Zagaglia
Date of publication2012-03-15 18:43:58
MaintainerPaolo Zagaglia <paolo.zagaglia@gmail.com>
LicenseGPL-3
Version1.0

View on CRAN

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

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