HullWhiteRealizedVolitility: Hull-White Realized Volitility

Description Usage Arguments Value

Description

The Hull-White model's approximation for realized volitility.

Usage

1
HullWhiteRealizedVolitility(realizedVar_0, time, kappa, zeta)

Arguments

realizedVar_0

Initial realized variance of a stock repeated T times

time

Number of realized variance observations

kappa

The drift coefficient of the model.

zeta

The Diffusion coefficient of the model.

Value

Realized volitility according to the Hull-White model when the correct kappa and zeta values are used


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