4696数理金融中等数值题short
Fair Average Variance Over Horizon 6
题目
In a mean-reverting stochastic-vol model, variance starts at v0 = 0.04, long-run mean is theta = 0.09, mean-reversion speed is kappa = 1.5, and horizon is T = 1. What expected average variance E[(1/T)∫_0^T v_s ds] and annualized volatility sqrt of that average variance does the model imply?
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你的答案
Average variance
annualized volatility