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 gmail.com>
License: GPL-3
NeedsCompilation: no
In views: Finance
CRAN checks: VarSwapPrice results

Downloads:

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
OS X Snow Leopard binaries: r-release: VarSwapPrice_1.0.tgz, r-oldrel: VarSwapPrice_1.0.tgz
OS X Mavericks binaries: r-release: VarSwapPrice_1.0.tgz