4698数理金融中等数值题short
Annualized Volatility from Expected Forward Variance
题目
Current variance is v0 = 0.04, long-run mean is theta = 0.09, mean-reversion speed is kappa = 2, and horizon is T = 0.5. What expected forward variance E[v_T] and annualized volatility sqrt(E[v_T]) does the model imply?
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你的答案
E[v_T]
annualized volatility