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

Table 3

Calibrated parameters of 26/05/2017.

-0.2610624	-4.2253650	-0.0694265	-0.0119128
-0.066865	0.004079	-0.005091	0.066021