2106数理金融中等数值题medium
Infer Remaining Flat Volatility From a Live Variance Mark 11
题目
A variance swap has observed 30 trading days out of 90. Realized variance so far is 0.035, and the current fair full-life variance strike is 0.038333. If the remaining window is assumed to carry one flat volatility level, what annualized volatility does that imply for the remaining life?
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