5008金融与交易困难数值题short

Infer Realized Vol Where Variance And Vol Swaps Match 18

题目

A variance swap has notional 120000 and variance strike 0.0625, while a vol swap has vega notional 66000 and volatility strike 0.25. Other than sigma_real = 0.25, what realized volatility makes the two payouts equal?

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

数值

支持题库 schema 允许的整数、小数、分数或四则表达式。