Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model

Table 1

Model parameters.

Notations	Parameters	Regime I	Regime II
	Interest rate	0.06	0.03
	Appreciation rate	0.08	0.04
	Mean reversion rate	3.46	3.46
	Mean reversion value	0.009	0.004
	Volatility of volatility	0.14	0.14
	Correlation coefficient
	Jump intensity	0.2	0.1
Merton jump
	Mean of jump size	0.05	0.04
	Jump size volatility	0.086	0.078
Kou jump
	Inverse mean one	25	20
	Inverse mean two	50	45
	Exponential occurrences	0.2	0.16