[三級衍生品的風險管理] R eading16 variance swaps

HAIXIA 發(fā)布于：2021-06-11 11:59:20 瀏覽293次   CFA CFA三級
As a rule of thumbthe strike of a variance swap typically corresponds to the implied volatility of the put that had 90% money ness (calculated as the option's strike divided by the current level of the underlying) what's the mean of this phase and what is te money ness?
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Hsiao 發(fā)布于2021-06-11 17:16:53

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