Table 1 Parameters used for simulation
Current price of asset \(s_{1}\) | 100 | Correlation ρ | 0.5 |
Current price of asset \(s_{2}\) | 100 | Volatility of volatility \({\sigma _{1}}\) | 0.3 |
Interest rate r | 0.04 | Volatility of volatility \({\sigma _{2}}\) | 0.1 |
Current volatility \(v_{1}\) | 0.3 | Mean reversion \({\kappa _{1}}\) | 3 |
Current volatility \(v_{2}\) | 0.1 | Mean reversion \({\kappa _{2}}\) | 1 |
Elastic constant \({\alpha _{1}}\) | 0.1 | Long-run mean \({\theta _{1}}\) | 0.3 |
Elastic constant \({\alpha _{2}}\) | 0.1 | Long-run mean \({\theta _{2}}\) | 0.1 |
Hurst parameter H | 0.7 | Coefficient of mfBm λ | 0.5 |