NO.PZ2020021203000119
问题如下:
What view of the market would a trader have if he or she choose a receive-fixed variance swap?
选项:
解释:
Because the payoff is Lvar(VK -𝞂2) the trader would be taking the view that the realized variance rate (𝞂2) will be less than the pre-specified variance rate (VK) in the future period that is considered. The variance rate is the square
收fixed ,trader是不是认为未来波动率变大呀?求问老师