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Used for questions related to statistical measure "variance", i.e. a second central moment of a random variable. The variance is a risk measure.

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Some of the assumptions here are wrong. The issue here is that $$S_0 \neq e^{-rT} E[S],$$ but $$F = E[S].$$ And thus Z should be Z=V-theta*(VC-exp(-rT)*F). If you output mean(VC) it's very clear. It s …
answered Oct 4 '20 by jherek