Entete, menu et pied de page

F o r e v e r

Forever

The Heston Stochastic Volatility Model

The Heston model have the following diffusion:
dSt=μStdt + √vtStdWt1
dvt= κ(θ-vt)dt + σdWt2
dWt1dWt2=ρdt
μ = drift; S= spot price (of the underlying); vt = instantaneous variance σ (sigma)= the volatility of volatility
κ(kappa) = mean reverting coefficient; θ (theta)=long run variance; &rho (rho)= correlation between the two brownian
W1, W2 = brownian motions.

Parameters






























Forever

Copyright : Moulong Armel Rodrigue, 2012

Contact: moulongarmel@yahoo.fr