|
| Parameter | Value |
|
| Probability of upward | |
| Volatility of asset price | |
| Mean of the exponential distribution of upward | |
| Mean of the exponential distribution of downward | |
| Intensity of the Poisson process | |
| Interest rate | |
| Initial asset price | |
| Initial variance | |
| Rate of reversion | |
| Long-run variance | |
| Volatility of volatility | |
| Correlation between returns and volatility | |
|