2310数理金融中等数值题medium
Jump Variance Decomposition 5
题目
Suppose total log-return variance over horizon T is modeled as sigma^2*T + lambda*T*delta^2. If sigma = 0.22, lambda = 1.1, delta = 0.09, and total variance is 0.03883, what horizon T is implied?
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案