Sigma
Key Sigma in Square Root Process refers to the σ in the equation dx = θ(μ-x)dt + σ*sqrt(x)dw as described in Square Root Process, which is interpreted as the square root volatility of the diffused quantity x
Key Sigma in Square Root Process refers to the σ in the equation dx = θ(μ-x)dt + σ*sqrt(x)dw as described in Square Root Process, which is interpreted as the square root volatility of the diffused quantity x