Tag Info

Hot answers tagged

2

Since $v_0$ and $\theta$ are responsible for the initial and long-term level of the variance,Zhu (2010) recommends basing vega on those two parameters. Both parameters represent variance, so to create measures of sensitivity to volatility, Zhu (2010) defines two vegas, one based on $\upsilon=\sqrt v_0$ and the other based on $\omega=\sqrt \theta$ for the ...



Only top voted, non community-wiki answers of a minimum length are eligible