A Volatility Swap Is

question 6

Multiple Choice

A volatility swap is

• A) An instrument that swaps the change in the value of a market variable for a fixed amount
• B) A swap involving an asset whose volatility is greater than a certain level
• C) An exchange of the implied volatility of an option at a future time for a fixed volatility
• D) An exchange of the realized volatility of an asset for a fixed volatility

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Definitions:

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