Sigma
Key Sigma in Extended CIR Model refers to the initial value of the deterministic function σ in the SDE:
dr΄ = k(θ - r΄)dt + sqrt(r΄)σdw
Key Sigma in Extended CIR Model refers to the initial value of the deterministic function σ in the SDE:
dr΄ = k(θ - r΄)dt + sqrt(r΄)σdw