4693数理金融简单数值题short
Time Until Only 20% of a Variance Shock Remains
题目
A mean-reverting stochastic-vol model has kappa = 2. After how many years is only 20% of the initial variance shock expected to remain?
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
题目
A mean-reverting stochastic-vol model has kappa = 2. After how many years is only 20% of the initial variance shock expected to remain?
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