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 |
| Reference manual: | VarSwapPrice.pdf |
| Package source: | VarSwapPrice_1.0.tar.gz |
| Windows binaries: | r-devel: VarSwapPrice_1.0.zip, r-release: VarSwapPrice_1.0.zip, r-oldrel: VarSwapPrice_1.0.zip |
| macOS binaries: | r-release: VarSwapPrice_1.0.tgz, r-oldrel: VarSwapPrice_1.0.tgz |
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