姚同學
2023-12-30 12:10Comment 2: The payoff of a variance swap is convex with respect to changes in volatility.
Comment 2: The payoff of a variance swap is convex with respect to changes in volatility. 畫圖說明一下?謝謝。
所屬:CFA Level III > Derivatives and Currency Management 視頻位置 相關試題
來源: 視頻位置 相關試題
1個回答
Simon助教
2023-12-30 13:04
該回答已被題主采納
同學,上午好。comment 2 意思是variance swap也有凸性,對于volatility的變化,也遵循漲多跌少。具體圖像見截圖。
