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Derivatives
Derivatives
Hard
Blackstone Ridge Fund enters a long variance swap on the Euro Stoxx 50 with a vega notional of EUR 50,000 and a strike volatility of 20%. At expiry, realized volatility is 26%. The approximate payoff to Blackstone Ridge is closest to:
A
EUR 575,000
B
EUR 300,000
C
EUR 150,000
D
EUR 460,000
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Tags
#variance-swap
#realized-variance
#vega-notional
#volatility-derivatives
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