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

Table 7

Pricing performance based on our proposed models.

Model	MSE	AMAE	MSE-MC	AMAE-MC
OUSV-CGMY	383.7151	0.4328	682.2671	0.5658
OUSV-CTS	321.6242	0.3697	663.6938	0.5584
OUSV-CGMY-V	391.1388	0.4376	767.2951	0.6080
OUSV-CTS-V	313.8927	0.3627	749.9421	0.5745

Note. MSE-MC is the MSE with a measure of change. AMAE-MC is the AMAE is the AMAE with a measure of change.