First order moment of the logarithm of the asset price
Insert risk free interest rate r* (years
-1
) (0 < r* < 1)
Insert correlation coefficient (-1 <
r
< 1)
Insert vol of vol
e
(years
-1/2
) (0 <
e
< 1)
Insert drift of variance
m
(years
-1
) (-1 <
m
<1)
Insert initial volatility
(years
-1/2
) (0 <
<2)
Insert initial value of the asset price
(USD) (
> 0)
Insert time t (years) (0 <
t
< 2)
Insert sample dimension (0 < N < 100000)
Theoretical first order moment of
:
Numerical first order moment of
: