Spot price (S)

2

Strike price (K)

1

Risk free rate (r)

0.03

Time to maturity (days)

730

Rho (ρ)

−0.5

Kappa (κ)

0.2

Theta (θ)

0.022

Lambda (λ)

2

Volatility of variance (σ)

0.1

Current variance (v)

0.01

Number of simulations

1.000

Bivariate MC call price

1.0943