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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

Install

install.packages('VarSwapPrice')

Monthly Downloads

4

Version

1.0

License

GPL-3

Maintainer

Paolo Zagaglia

Last Published

March 15th, 2012

Functions in VarSwapPrice (1.0)

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