AdvancedMultiple choice
Why does a variance swap’s P&L not depend on the path of the stock the way a delta-hedged option’s does?
- ABecause a variance swap has no gamma at all, so moves do not affect it
- BIts option strip has constant dollar gamma
- CBecause it is settled in cash rather than by delivery of the underlying
- DBecause variance swaps only reference the closing price on the final day
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