A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk

Table 1

Default parameters for simulation of option prices.

Parameter	Value
Probability of upward	𝑝=0.6
Volatility of asset price	𝜎=0.16
Mean of the exponential distribution of upward	𝜂1=40
Mean of the exponential distribution of downward	𝜂2=40
Intensity of the Poisson process	𝜆=10
Interest rate	𝑟=0.05
Initial asset price	𝑆0=100
Initial variance	𝑉0=1
Rate of reversion	𝑎𝑣=0.3
Long-run variance	𝜃𝑣=0.6
Volatility of volatility	𝜎𝑣=0.25
Correlation between returns and volatility	𝜌=−0.8