5007金融与交易困难数值题short

Infer Realized Vol Where Variance And Vol Swaps Match 17

题目

A variance swap has notional 80000 and variance strike 0.0324, while a vol swap has vega notional 26400 and volatility strike 0.18. Other than sigma_real = 0.18, what realized volatility makes the payouts equal?

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