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
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