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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.
Getting started
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Package details |
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| Author | Paolo Zagaglia |
| Maintainer | Paolo Zagaglia <paolo.zagaglia@gmail.com> |
| License | GPL-3 |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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