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VarSwapPrice (version 1.0)
Pricing a variance swap on an equity index
Description
Computes a portfolio of European options that replicates the cost of capturing the realised variance of an equity index.
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Version
Version
1.0
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Install
install.packages('VarSwapPrice')
Monthly Downloads
11
Version
1.0
License
GPL-3
Maintainer
Paolo Zagaglia
Last Published
March 15th, 2012
Functions in VarSwapPrice (1.0)
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black_scholes
Black-Scholes pricing for call and put options
VarSwapPrice-package
Pricing the variance swap of an equity index
VarSwap
Pricing a variance swap of an equity index