4776数理金融中等数值题short
CIR Positivity Cushion 11
题目
A desk wants to keep the CIR positivity condition just binding at 2*kappa*theta = sigma^2. If kappa=0.8 and theta=0.04, what is the largest volatility sigma that still satisfies the condition?
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