5606数理金融困难数值题short
Variance Risk Premium Arithmetic 1
题目
A simplified volatility contract settles on annualized variance difference notional × (implied_vol^2 - realized_vol^2). If implied volatility was 0.26 and realized volatility turned out to be 0.19, what is the signed variance gap and the contract PnL on notional 2,000,000? Which side benefits?
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你的答案
variance_gap
pnl
better_side