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