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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Heston model ： ウィキペディア英語版 Heston model In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process. == Basic Heston model == The basic Heston model assumes that ''St'', the price of the asset, is determined by a stochastic process: :$$ dS_t = \mu S_t\,dt + \sqrt S_t\,dW^S_t \, where $\backslash nu\_t$, the instantaneous variance, is a CIR process: :$$ d\nu_t = \kappa(\theta - \nu_t)\,dt + \xi \sqrt\,dW^_t \, and $$ are Wiener processes (i.e., random walks) with correlation ρ, or equivalently, with covariance ρ dt. The parameters in the above equations represent the following: * μ is the rate of return of the asset. * θ is the long variance, or long run average price variance; as ''t'' tends to infinity, the expected value of ν''t'' tends to θ. * κ is the rate at which ν''t'' reverts to θ. * ξ is the volatility of the volatility, or vol of vol, and determines the variance of ν''t''. If the parameters obey the following condition (known as the Feller condition) then the process $\backslash nu\_t$ is strictly positive :$$ 2 \kappa \theta > \xi^2 \, . 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Heston model」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.