2096数理金融简单数值题short
Infer Event-Window Length From a Fair Variance Strike 1
题目
A 252-day variance swap assumes instantaneous volatility 0.4 during an event window of unknown length d trading days and volatility 0.2 during the remaining days. If the annualized fair volatility strike is 0.3, approximately how many trading days does the event window last?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案