Discrete Dynamics in Nature and Society / 2018 / Article / Tab 1

Research Article

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

Table 1

parameter Values in the Base Case.

Parameter Value Parameter Value

Time to maturity T=1 Mean-reverting rate of volatility
Time t=0 Long-term mean of volatility
Initial stock price S(0)=10Volatility of volatility
Initial volatility value Volatility of the asset
Mean-reverting rate of volatilityVolatility of the asset
Long-term mean of volatility Outstanding claims
Volatility of volatilityDefault barrier
Initial volatility value Deadweight cost
Mean-reverting rate of volatility Strike price K=10
Long-term mean of volatility Initial asset value
Volatility of volatility Correlation coefficient,
Initial volatility value Correlation coefficient
Correlation coefficient Correlation coefficient
Interest rate r=0.03 Correlation coefficient

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