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Table 1 Parameters used for simulation

From: The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

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