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

Table 4

Summary statistics of prices, log returns, and squared log returns of S&P 500 Index.

Statistic	Min	Max	Std. dev	Skewness	Kurtosis	JB test	ARCH-LM test
Prices	676.50	4796.6	960.4607	1.080189	3.363511	882.47 (-value = 0)	43,716 (-value = 0)
Log returns		10.95720	1.239736		13.308883	7839.7 (-value = 0)	1057.7 (-value = 0)
Squared log return	0	162.95069	6.005256	13.1644	243.3772	10742319 (-value = 0)	1106.4 (-value = 0)