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A Volatility Swap Is an Option on the Realized Standard

Question 18

Multiple Choice

A volatility swap is an option on the realized standard deviation of a stock's return over a defined period of time.A volatility 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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