lee
2025-07-01 13:25老師好 這個公式紅色框框里和藍(lán)色框框里都是指的implied volatility嗎？紅色K^2*(T-t/T)是在小t時間的implied volatility，藍(lán)色是T=0時間的original volatility，是這么區(qū)分的嗎
所屬：CFA Level III > Derivatives and Risk Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
婷婷助教
2025-07-02 09:05
該回答已被題主采納
同學(xué)你好，
variance swap的題表述都很清楚的，
不會在字眼上玩文章，
附你個例子你就懂了。
Olivia Santos trades strategies that systematically sell volatility on the S&P 500 Index. She sells $50,000 vega notional of a one-year variance swap on the S&P 500 at a strike of 20% (quoted as annual volatility). Now six months have passed, and the S&P 500 has experienced a realized volatility of 16% (annualized). On the same day, the fair strike of a new six-month variance swap on the S&P 500 is 19%.Determine the following:
1 The current value of the variance swap sold by Santos (note that the annual interest rate is 2.5%)
2 The settlement amount at expiration of the swap if the one-year realized volatility is 18%
0
0
0
0
