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

Table 5

Parameter estimates of the proposed model fitted to the S&P 500 Index under the three error distributions.

Residual distribution						Shape	Skew
Normal	0.068529		0.026622	0.142245	0.837764
Student-t	0.084252		0.016373	0.140577	0.857729	5.115944
Skewed Student-t	0.060347		0.0015629	0.133876	0.860204	0.874354	5.703997