4697数理金融中等数值题short
Long-Run Mean Implied by an Average-Variance Target
题目
Suppose expected average variance over one year is E[(1/T)∫_0^T v_s ds] = 0.097927 in a mean-reverting stochastic-vol model with current variance v0 = 0.12, kappa = 1, and T = 1. What long-run mean theta is implied?
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