An Ornstein–Uhlenbeck Model with the Stochastic Volatility Process and Tempered Stable Process for VIX Option Pricing

Table 4

Parameter estimation of our proposed models without a measure of change under the risk neutral measure.

Models	Estimation of parameters
OUSV-CGMY
	9.903E-2	3.928E-2	−5.347E-3	1.978E-3	1.916E-10	1.702E-4
	1.389E-9	3.413E-3	1.746E-2	8.866E-1	1.099E-3
	OUSV-CTS
9.741E-2		3.610E-2	−5.545E-3	8.284E-1	1.011E-2	1.819E-2
1.082EE-8		8.019E-1	2.084E-3	9.439E-8	1.274E0	8.042E-4
OUSV-CGMY-V
	9.903E-2	3.960E-2	−5.404E-3	2.593E1	2.517E-5	5.667E-3
	1.915E-2	9.843E-3	3.328E-4	3.890E-1	2.418E-3
	OUSV-CTS-V
9.719E-2		3.552E-2	−5.303E-3	9.688E-1	1.622E-2	1.858E-2
2.907E-7		1.924E0	9.231E-4	1.196E-8	2.609E0	5.117E-4