Research Article

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

Table 7

Mean square error of the proposed model under normal, Student-t, and skewed Student-t distributions for various sample sizes.

Sample sizeNormalStudent-tSkewed Student-t
MSEMSEMSE

10002.3169822.2130042.207537
20001.9634981.9419331.937141
30001.564981.5485671.513999
40001.5459111.5174611.443388