Parameter

Symbol

Value

Initial price

$Y_0$

46.31

Initial volatility

$V_0$

2.3 × 10⁻⁴

Vol-volatility

$\sigma$

9.0 × 10⁻⁵

long-run variance

$\theta$

8.8 × 10⁻⁹

Reversion rate

$\beta$

2.95 × 10⁻³

Mean log-return

$\mu$

4.94 × 10⁻⁴