Parameters

Description

$\kappa$

$\varrho$

$\delta$

$\sigma$

$\Theta$

$M\left(t\right)$

$\lambda$

$\mu$

$W\left(t\right)$

Risk-neutral drift.

Variance process through mean reversion.

Volatility jump step size.

Volatility variance process.

Long-run mean of the variance process.

Poisson process with intensity $\lambda$ .

Constant intensity of the Poisson process $M\left(t\right)$ .

Wiener process of two-dimension with correlation a.

Lognormal random variable with variance ${\beta }^2$ and mean $\alpha$ .