Timeline for Mean Reverting Heston Model?
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 11, 2020 at 20:29 | vote | accept | TheMathBoi | ||
| Oct 10, 2020 at 20:08 | history | edited | Kermittfrog | CC BY-SA 4.0 |
added 565 characters in body
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| Oct 10, 2020 at 20:03 | comment | added | Kermittfrog | I am wondering whether, in the risk neutral world, the specification of the mean process is of any use (i.e. in an option pricing application), see for example this thread and the reference within: quant.stackexchange.com/questions/22189/…. I will nevertheless add a line to my answer. | |
| Oct 10, 2020 at 15:54 | comment | added | TheMathBoi | I'm sorry, I might have been a bit inexact in my language. I was talking about mean reverting returns. In the formulas I have in my edit, I consider an equilibrium price at time t, $\mu_t=\mathbb{E}[S_t]=S_0*e^{rt}$. Thank you so much for your help and advice, by the way. I'm an undergrad with only very minimal exposure to stochastic calc, so this doesn't come naturally to me. | |
| Oct 9, 2020 at 19:10 | vote | accept | TheMathBoi | ||
| Oct 9, 2020 at 19:11 | |||||
| Oct 9, 2020 at 19:10 | comment | added | Kermittfrog | If, on the other hand, you want to introduce mean reverting returns, then we need to introduce another process for $\mu$. Please let me know if that's what you truly want. | |
| Oct 9, 2020 at 19:08 | history | answered | Kermittfrog | CC BY-SA 4.0 |