User talk:Froufrou07

(originally posted to Talk:Stochastic volatility, kindly respond there)

Form of Heston model
My source for the Heston equation was Inside Volatility Arbitrage, A. Javaheri, pg. 47, which it gives as
 * $$ d\nu_t = (\omega - \theta\,\nu_t)dt + \xi \nu_t^p\,dB_t \,$$

where $$p=0.5$$

I'm afraid I don't have access to the paper you cited to compare it - can you kindly point me to a publicly available copy? I do have access to Javaheri, perhaps we can get this straightened out. Thanks. Ronnotel 14:17, 27 February 2007 (UTC)