A Jump Diffusion Model with Fast Mean-Reverting Stochastic Volatility for Pricing Vulnerable Options

Table 2

Parameter estimates adapted from Turchyn [15] and Altıntan et al. [14] based on real market data.

Parameter
Value	0.033015		0.01142	0.065437	0.894563	0.2	0.5	0.6	0.2	0.5	0.6