Multiple Choice
The Heston (1993) model generalizes the Black-Scholes setting to one in which
A) Volatility itself evolves according to a geometric Brownian motion.
B) Volatility is a mean-reverting stochastic process.
C) Volatility is a mean-averting stochastic process.
D) Volatility evolves according to an arithmetic Brownian motion.
Correct Answer:
Verified
Correct Answer:
Verified
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