Logreturn variance in Heston model

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Logreturn variance in Heston model

R help mailing list-2
I have to calculate the logreturn variance in the Heston model. How can I
do? Do you know some function that calculates it?
Thank you
Barbara

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Re: Logreturn variance in Heston model

David Winsemius
I'm sure I don't know the answer, but I'll hazard a guess why no one has
responded in 3 hours. Generally persons submit question to Rhelp with
some code and data (or at least a description of the data). Questions
about theory are considered off-topic although sometimes addressed if
there seems to be some relationship to some aspect of the language.
Questions that show little individual effort at preliminary searching
may get ignored, and this is what I think is happening to yours at the
moment. Likewise requests for tutorials or solutions to what appear to
be homework questions with no prior effort are often met with
suggestions that you present evidence of knowing how to do basic
operations such as building simulated datasets.

There are quite a few CRAN Task Views and you might start there.

You posted in HTML. Rhelp is a plain text mailing list. I suggest  you
read the Posting Guide and the List Info pages.

You might consider posting the question on the Stackexchange.com's
Quantitative Finance forum, but I would advise first reviewing their
[how to post] pages.

Don't post this question in this form to StackOverflow, since package
recommendation requests are off-topic there.

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David

On 10/15/20 9:32 AM, Barbara Rogo via R-help wrote:
> I have to calculate the logreturn variance in the Heston model. How can I
> do? Do you know some function that calculates it?
> Thank you
> Barbara
>

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.