2111数理金融中等数值题medium
Infer Stress Probability From a Variance Forecast 16
题目
A one-year variance forecast says annualized volatility will be 0.15 in a calm regime and 0.35 in a stress regime. If the fair variance-swap volatility strike is 0.24, what risk-neutral probability of the stress regime is implied by the variance forecast?
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