The m-th order moment of the log-price variable in the Stein-Stein model
Insert risk free interest rate r
(-1 < r < 1)
Insert correlation coefficient
r
(-1 <
r
< 1)
Insert vol of vol
e
(years
-1/2
) (0 ≤
e
≤ 1)
Insert long term mean
q
(years
-1/2
) (
q
≥ 0)
Insert speed of mean reversion
c
(years
-1/2
) (
c
≥ 0)
Insert initial stochastic volatility
(years
-1/2
) (0 <
≤1)
Insert initial value of the log-price variable
(0 <
≤ 1)
Insert time t' (years) (0 <
t'
< 2.0)
Insert moment order m (0 < m ≤ 2)
Insert Monte Carlo sample size N (0 < N ≤ 100000)
Theoretical m-th order moment of the log-price x
t'
(explicit formula)
Numerical m-th order moment of the log-price x
t'
(Monte Carlo method)