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Equity Derivatives technical study focuses on arbitrage strategies involving the variance of an index against the variances of its components. Index variance arbitrage always leaves a residual risk. A statistical approach, based on minimising historical residual variance eliminates much more of the volatility risk but is complex to set up.
Equity Derivatives technical study focuses on arbitrage strategies involving the variance of an index against the variances of its components. Index variance arbitrage always leaves a residu…