If the risk neutral price for a 60 day variance swap is 25% and for a 10

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If the risk neutral price for a 60 day variance swap is 25% and for a 10 day is 15%, what is the risk neutral price for a 30 day variance swap?

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Financial Management for Public Health and Not for Profit Organizations

ISBN: 978-0132805667

4th edition

Authors: Steven A. Finkler, Thad Calabrese

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Posted Date: Apr 26, 2023 02:45 AM

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If the risk neutral price for a 60 day variance swap is 25% and for a 10

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Assuming that the volatility is constant over the 60 30 a... View the full answer

Financial Management for Public Health and Not for Profit Organizations

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