HestonRealizedVariance: Heston Realized Variance

Description Usage Arguments Value

View source: R/Heston.R

Description

The Heston model's approximation for realized variance.

Usage

1
HestonRealizedVariance(realizedVar_0, time, kappa, theta)

Arguments

realizedVar_0

Initial realized variance of a stock repeated T times

time

Number of realized variance observations

kappa

Mean reverting parameter.

theta

The long term average.

Value

Realized variance according to the Heston model when the correct kappa and theta values are used


loftina/FinMod documentation built on May 26, 2019, 10:35 a.m.