Sigma
Key Sigma in Extended OU Process refers to the σ in the equation dx = θ(μ-x)dt + σdw as described in Extended OU Process, which is interpreted as the normal volatility of the diffused quantity x
Key Sigma in Extended OU Process refers to the σ in the equation dx = θ(μ-x)dt + σdw as described in Extended OU Process, which is interpreted as the normal volatility of the diffused quantity x