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

Table 5

Parameter estimation of our proposed models with a measure of change under the risk neutral measure.

	Models	Estimation of parameters
OUSV-CGMY
	−1.129E-1	1.846E-2	5.484E-3	1.520E0	3.950E0	1.354E1
	1.384E1	2.365E-7	3.077E-6	1.119E3	7.522E-2
	OUSV-CTS
−1.126E1		1.855E-2	5.512E-3	1.520E0	3.950E0	3.950E0
1.354E1		1.384E1	2.377E-7	3.170E-6	1.125E3	7.506E-2
OUSV-CGMY-V
	−9.489E-2	2.054E-2	4.007E-6	8.477E-1	70122E1	1.418E1
	1.440E1	1.911E-6	9.008E-7	3.583E2	9.681E-2
	OUSV-CTS-V
−9.338E-2		1.618E-2	−1.380E-5	6.217E-1	8.487E1	8.785E1
1.165E1		1.299E1	6.514E-6	6.672E-6	1.012E2	8.988E-2