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

<table class="table-group" id="tab8"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Model</td><td class="align_center">MSE</td><td class="align_center">AMAE</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">CIR</td><td class="align_center">7148.8610</td><td class="align_center">1.7914</td></tr><tr><td class="align_left">OUCTS</td><td class="align_center">677.6698</td><td class="align_center">0.5550</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Pricing performance based on CIR and OUCTS.</div>

Mathematical Problems in Engineering

tab8

Table 8

Table 8: An Ornstein–Uhlenbeck Model with the Stochastic Volatility Process and Tempered Stable Process for VIX Option Pricing 