Description Usage Arguments Value
The Heston model's approximation for realized variance.
1 | HestonRealizedVariance(realizedVar_0, time, kappa, theta)
|
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. |
Realized variance according to the Heston model when the correct kappa and theta values are used
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