6042随机过程简单derivationshort
Long-Run Variance of a Mean-Reverting Rate
题目
A short rate follows an OU process with kappa = 1.5 and sigma = 0.12. What is its long-run (stationary) variance?
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提交作答时记录，用于后续平均用时统计。
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题目
A short rate follows an OU process with kappa = 1.5 and sigma = 0.12. What is its long-run (stationary) variance?
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