A variance swap is an option on the realized variance of a stock's return over a defined period of time.A variance swap may be replicated using
A)A static position in forwards and options on the stock.
B)A static position in stock,forwards and options.
C)A dynamic position in forwards and options on the stock.
D)None of the above

Question

Quizplus · Accepted Answer

See the chapter appendix.

A Variance Swap Is an Option on the Realized Variance