Computes a portfolio of European options that replicates the cost of capturing the realised variance of an equity index.
It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.
1.0 by Paolo Zagaglia, 15 years ago
Browse source code at https://github.com/cran/VarSwapPrice
Authors: Paolo Zagaglia
Documentation: PDF Manual
GPL-3 license
See at CRAN