A Variance Swap Is an Option on the Realized Variance

question 30

Multiple Choice

A variance swap is an option on the realized variance of a stock's return over a defined period of time. A variance swap may be replicated using

• A) A static position in forwards and options on the stock.
• B) A static position in stock, forwards and options.
• C) A dynamic position in forwards and options on the stock.
• D) None of the above

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