VarSwapPrice (1.0)

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Pricing a variance swap on an equity index.

http://cran.r-project.org/web/packages/VarSwapPrice

Computes a portfolio of European options that replicates the cost of capturing the realised variance of an equity index.

Maintainer: Paolo Zagaglia
Author(s): Paolo Zagaglia

License: GPL-3

Uses: Does not use any package

Released over 5 years ago.


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