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quantra-go-algo/Model_parameters.py Secret

Created May 9, 2024 11:50
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Model_parameters.py
# Model parameters
S0 = 100.0 # Initial stock price
K = 100.0 # Strike price
r = 0.05 # Risk-free rate
T = 1.0 # Time to maturity
kappa = 2.0 # Mean reversion rate
theta = 0.05 # Long-term average volatility
sigma = 0.3 # Volatility of volatility
rho = -0.5 # Correlation coefficient
v0 = 0.05 # Initial volatility
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