Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method

Table 1

Basic set of appropriate parameter values of the model.

𝜇	0.23
𝜅	3.46
𝜑	(0.0894)^2
𝛿	0.0001
𝜌	−0.82
𝑇	1
𝑆max	200
𝑉max	1
𝑟	0.039
𝜎	0.14
𝜆	0.47
𝛾	−0.086
𝐾	100
𝑁	2000
𝐼	30
𝐽	30