5889数理金融简单数值题short

Vega Notional From Variance Notional

题目

A trader wants a variance swap that behaves locally like a vega notional of 40,000 (per vol point) at the current volatility strike of K_vol = 0.25. Using the standard linearization that near the strike the variance-notional payoff has vega notional N_vega = 2 * K_vol * N_var (with vol points and variance both in decimal-consistent units), what variance notional N_var should be set (number)?

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。