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)=10	Volatility of volatility
Initial volatility value		Volatility of the asset
Mean-reverting rate of volatility		Volatility of the asset
Long-term mean of volatility		Outstanding claims
Volatility of volatility		Default 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