Which of the following volatility instruments CAN be replicated using a combination of cash, call options, put options, and forward/futures contracts:
A. Volatility swap
B. Variance swap
C. VIX futures
D. VIX options
test
Which of the following volatility instruments CAN be replicated using a combination of cash, call options, put options, and forward/futures contracts:
A. Volatility swap
B. Variance swap
C. VIX futures
D. VIX options
The answer is B) Variance Swap