5006金融与交易困难数值题short

Infer Realized Vol Where Variance And Vol Swaps Match 16

题目

A variance swap has notional 100000 and variance strike 0.04, while a vol swap has vega notional 45000 and volatility strike 0.2. Other than the trivial case sigma_real = 0.2 where both are at strike, what realized volatility makes the two payouts equal?

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