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nik154
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Posts: 28
Joined: September 8th, 2007, 4:16 am

geometric average-variance dispersion

September 1st, 2008, 7:05 am

What is geometric average-variance dispersion trade ?thx
 
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Siberian
Posts: 298
Joined: June 25th, 2003, 8:56 pm

geometric average-variance dispersion

September 11th, 2008, 3:07 pm

sounds like when your payoff is avg realized vol in a basket minus strike vol
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