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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