The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach

Table 2

Calibrated parameters of 14/03/2017.

-0.1291801	-11.2623374	-0.1975740	-0.0361232
-0.072217	0.002018	-0.010438	0.175974