Kappa
Key Kappa in Heston Model refers to the value of the parameter κ in the SDE for the squared asset price volatility χ: dχ = κ(θ-χ)dt + ξσdω
It represents the rate at which the squared volatility reverts to θ
Key Kappa in Heston Model refers to the value of the parameter κ in the SDE for the squared asset price volatility χ: dχ = κ(θ-χ)dt + ξσdω
It represents the rate at which the squared volatility reverts to θ