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.

Package details

AuthorPaolo Zagaglia
MaintainerPaolo Zagaglia <>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the VarSwapPrice package in your browser

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

VarSwapPrice documentation built on May 2, 2019, 5:50 a.m.