Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Table 5

Estimated risk-neutral parameters for five given models.

Model parameters	TSVIJ	SVIJ	SV	Merton	BS
	0.0351	0.0492	0.0734	0.0626	0.1011
	24.3726	21.9152	2.9990
	0.0636	0.0690	0.5005
	0.3104	0.1562	0.0613
	0.2600	0.3073
	−0.5315	−0.4821	−0.5012
	0.5164	0.9979
	0.1123
	82.3024
	0.0310
	0.3308
	0.6327
	0.5036
	1.0304
	−0.2839	−0.1089		−0.1138
	0.3795	0.2092		0.1978
	0.8963	1.9695		1.9943
RMSE	0.1306	0.1421	0.1309	0.3116	0.3625
ARPE	3.2530	3.5407	3.2599	3.7806	3.8520
CPU time (s)	732.5932	268.2043	46.8921	31.5271	5.5643

Note. and .