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

Table 3

Parameter estimates of the fitted model using three different error distributions (normal, Student-t, and skewed Student-t) under three different market trends (bearish, bullish, and neutral).

Residual distribution						Shape	Skew
Normal	0.033561		0.012502	0.087566	0.905233			0.2	0.5	0.6	0.2	0.5	0.6
Student-t	0.05335		0.00833	0.091376	0.907624	6.3745		0.2	0.5	0.6	0.2	0.5	0.6
Skewed Student-t	0.03343		0.00782	0.091132	0.907867	0.887993	6.75413	0.2	0.5	0.6	0.2	0.5	0.6