Compute the expected realized variance on the time interval [0, T] in the Heston model, with $$

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Compute the expected realized variance on the time interval [0, T] in the Heston model, with

$$
d v_{t}=-\lambda\left(v_{t}-might) d t+\eta \sqrt{v_{t}} d B_{t}, \quad 0 \leqslant t \leqslant T
$$

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Introduction To Stochastic Finance With Market Examples

ISBN: 9781032288277

2nd Edition

Authors: Nicolas Privault

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Question Posted: Feb 29, 2024 02:00 AM

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Compute the expected realized variance on the time interval [0, T] in the Heston model, with $$

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We need to compute the average frac1T mathbbEleftint0T vt d tightfrac1T int0T mathbbEleftvtight d tf...View the full answer

Introduction To Stochastic Finance With Market Examples

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