Rho
Key Rho in Heston Model refers to the correlation ρ between the two wiener processes w, ω driving respectively the SDEs:
dS = μSdt + σSdw
and
dχ = κ(θ-χ)dt + ξσdω
It represents the correlation between the underlying price and squared volatility.
Key Rho in Heston Model refers to the correlation ρ between the two wiener processes w, ω driving respectively the SDEs:
dS = μSdt + σSdw
and
dχ = κ(θ-χ)dt + ξσdω
It represents the correlation between the underlying price and squared volatility.