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.

Version: 1.0
Published: 2012-03-15
Author: Paolo Zagaglia
Maintainer: Paolo Zagaglia <paolo.zagaglia at>
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:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): VarSwapPrice_1.0.tgz, r-release (x86_64): VarSwapPrice_1.0.tgz, r-oldrel: VarSwapPrice_1.0.tgz


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