5001金融与交易中等数值题short

Infer Volatility Strike From Matched Vega Notional 11

题目

Around the volatility strike K_vol, a variance swap with variance notional N_var is often locally matched to a vol swap with vega notional N_vega via N_vega = 2*K_vol*N_var. If N_var=100000 and N_vega=40000, what K_vol is implied?

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