Computes a portfolio of European options that replicates the cost of capturing the realised variance of an equity index.
| Version: | 1.0 |
| Published: | 2012-03-15 |
| Author: | Paolo Zagaglia |
| Maintainer: | Paolo Zagaglia <paolo.zagaglia at gmail.com> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | VarSwapPrice results |
| Package source: | VarSwapPrice_1.0.tar.gz |
| MacOS X binary: | VarSwapPrice_1.0.tgz |
| Windows binary: | VarSwapPrice_1.0.zip |
| Reference manual: | VarSwapPrice.pdf |