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Lich · 2024年10月16日

如题

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

1 个答案

pzqa27 · 2024年10月16日

嗨,爱思考的PZer你好:


不是啊,解析说了“ 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. “也就是trader认为未来真实的方差会比预期的方差要小。也就是预测未来方差变小。

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