A volatility swap is an option on the realized standard deviation of a stock's return over a defined period of time.A volatility 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
Correct Answer:
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Q18: A stock is currently trading at
Q19: A stock is currently trading at
Q20: The Black-Scholes formula is based on
A)A field
Q21: Consider a Black-Scholes setting.When a call option
Q22: The VIX is an implied volatility index
Q24: Most major stock indices,like the S&P
Q25: The implied volatility skew observed in stock
Q26: The S&P 500 index is trading at
Q27: The Black-Scholes price of a three-month 50-strike
Q28: A variance swap is an option on
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