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What is “Lambda” in Heston's original paper on stochastic volatility models?
Planned maintenance scheduled April 23, 2019 at 23:30 UTC (7:30pm US/Eastern)
Announcing the arrival of Valued Associate #679: Cesar Manara
Unicorn Meta Zoo #1: Why another podcast?Definition of orthogonality and independence for a stochastic processesDo we need Feller condition if volatility process jumps?Cointegration and variance of time seriesSpeed of mean reversion of an interest rate modelHow to price a stock under Q and stochastic interest rates?Fractional Brownian motion - probability density function of the incrementsVector of differences of Brownian motion integrals is multivariate normalStandard definition of multidimensional Brownian Motion with correlationsWhat is a stochastic processes which reasonably captures commodity price dynamics?Integral of Wiener process w.r.t. time
$begingroup$
In his paper (link), he has the equations:
b1 = k + ƛ - (ρ * σ)
b2 = k + ƛ
k is the rate of mean reversion, ρ is the correlation between the two Wiener processes, σ is vol of vol, what is ƛ?
I have yet to figure out what ƛ is.
Thanks!
options stochastic-processes
edited 2 hours ago
Alex C
6,73211123
asked 3 hours ago
vt_ogvt_og
162
$endgroup$
add a comment |
$begingroup$
In his paper (link), he has the equations:
b1 = k + ƛ - (ρ * σ)
b2 = k + ƛ
k is the rate of mean reversion, ρ is the correlation between the two Wiener processes, σ is vol of vol, what is ƛ?
I have yet to figure out what ƛ is.
Thanks!
options stochastic-processes
edited 2 hours ago
Alex C
6,73211123
asked 3 hours ago
vt_ogvt_og
162
$endgroup$
add a comment |
$begingroup$
In his paper (link), he has the equations:
b1 = k + ƛ - (ρ * σ)
b2 = k + ƛ
k is the rate of mean reversion, ρ is the correlation between the two Wiener processes, σ is vol of vol, what is ƛ?
I have yet to figure out what ƛ is.
Thanks!
options stochastic-processes
edited 2 hours ago
Alex C
6,73211123
asked 3 hours ago
vt_ogvt_og
162
$endgroup$
In his paper (link), he has the equations:
b1 = k + ƛ - (ρ * σ)
b2 = k + ƛ
k is the rate of mean reversion, ρ is the correlation between the two Wiener processes, σ is vol of vol, what is ƛ?
I have yet to figure out what ƛ is.
Thanks!
options stochastic-processes
options stochastic-processes
edited 2 hours ago
Alex C
6,73211123
asked 3 hours ago
vt_ogvt_og
162
edited 2 hours ago
Alex C
6,73211123
asked 3 hours ago
vt_ogvt_og
162
edited 2 hours ago
Alex C
6,73211123
edited 2 hours ago
Alex C
6,73211123
edited 2 hours ago
Alex C
6,73211123
6,73211123
asked 3 hours ago
vt_ogvt_og
162
asked 3 hours ago
vt_ogvt_og
162
asked 3 hours ago
vt_ogvt_og
162
162
add a comment |
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
It is on page 329 (which is the third page of the article) and represents the market price of volatility risk. I have copied below from the original article:
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
$endgroup$
add a comment |
$begingroup$
That is the "price of volatility risk" (see Page 329)
answered 2 hours ago
Alex CAlex C
6,73211123
$endgroup$
add a comment |
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
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active
oldest
votes
active
oldest
votes
$begingroup$
It is on page 329 (which is the third page of the article) and represents the market price of volatility risk. I have copied below from the original article:
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
$endgroup$
add a comment |
$begingroup$
It is on page 329 (which is the third page of the article) and represents the market price of volatility risk. I have copied below from the original article:
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
$endgroup$
add a comment |
$begingroup$
It is on page 329 (which is the third page of the article) and represents the market price of volatility risk. I have copied below from the original article:
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
$endgroup$
It is on page 329 (which is the third page of the article) and represents the market price of volatility risk. I have copied below from the original article:
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
answered 2 hours ago
Magic is in the chainMagic is in the chain
1,05915
1,05915
add a comment |
add a comment |
$begingroup$
That is the "price of volatility risk" (see Page 329)
answered 2 hours ago
Alex CAlex C
6,73211123
$endgroup$
add a comment |
$begingroup$
That is the "price of volatility risk" (see Page 329)
answered 2 hours ago
Alex CAlex C
6,73211123
$endgroup$
add a comment |
$begingroup$
That is the "price of volatility risk" (see Page 329)
answered 2 hours ago
Alex CAlex C
6,73211123
$endgroup$
That is the "price of volatility risk" (see Page 329)
answered 2 hours ago
Alex CAlex C
6,73211123
answered 2 hours ago
Alex CAlex C
6,73211123
answered 2 hours ago
Alex CAlex C
6,73211123
answered 2 hours ago
Alex CAlex C
6,73211123
6,73211123
add a comment |
add a comment |
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