Spot price (S) | 1 |
Strike price (K) | 1 |
Risk free rate (r) | 0.03 |
Time to maturity (T ? t) | 2 |
Rho (ρ) | −0.5 |
Kappa (κ) | 0.2 |
Theta (θ) | 0.03 |
Lambda (λ) | 2 |
Volatility of variance (σ) | 0.1 |
Current variance (v) | 0.01 |
Heston call price | 0.0896 |
Bivariate call price | 0.0970 |
Black scholes call price | 0.0887 |