HestonRealizedVolitility: Heston Realized Volitility
In loftina/FinMod: Financial Models for Variance and Volatility
Description
Usage
Arguments
Value
Description
The Heston model's approximation for realized volitility.
Usage
1
HestonRealizedVolitility(realizedVar_0, time, kappa, theta, gamma)
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.
gamma
The volatiltiy of the volatility.
Value
Realized volitility according to the Heston model when the correct kappa, theta, and gamma values are used
loftina/FinMod documentation built on May 26, 2019, 10:35 a.m.
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Description Usage Arguments Value
Description
The Heston model's approximation for realized volitility.
Usage
1 | HestonRealizedVolitility(realizedVar_0, time, kappa, theta, gamma)
|
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. |
gamma |
The volatiltiy of the volatility. |
Value
Realized volitility according to the Heston model when the correct kappa, theta, and gamma values are used
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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