Theory and Modern Applications
Table 1 European put option prices and varying parameter values
From: Vasicek model with mixed-exponential jumps and its applications in finance and insurance
Parameters | σ = 0.2 | σ = 0.4 | ρ = 40 | ρ = 60 | \(r_{0}=0.04\) | \(r_{0}=0.06\) |
|---|---|---|---|---|---|---|
\(P_{0}\) | 0.2097 | 0.1763 | 0.2043 | 0.2146 | 0.2198 | 0.2180 |
\(P_{0}^{\prime}\) | 0.0260 | 0.0249 | 0.0256 | 0.0256 | 0.0257 | 0.0254 |
Parameters | \(\eta_{1}=\theta_{1}=3\) \(\eta_{2}=\theta_{2}=2\) | \(\eta_{1}=\theta_{1}=30\) \(\eta_{2}=\theta_{2}=20\) | β = 0.08 | β = 0.10 | K = 0.2 | K = 0.4 |
\(P_{0}\) | 0.1231 | 0.0816 | 0.2202 | 0.2166 | 0.1477 | 0.1316 |
\(P_{0}^{\prime}\) | 0.0257 | 0.0257 | 0.0236 | 0.0276 | 0.0257 | 0.0257 |