Fig. 3

Evolution of model parameters given by Eq. (7) (left) and Heston(93) model (right). For the Heston Model the parameters are the ones defined by \(dS(t)=\alpha S(t)dt+\sqrt{V(t)}S(t)dW(t)\), \(dV(t)=\kappa (\Theta - V(t))dt+\sigma \sqrt{V(t)}dW^\sigma (t)\), and \(E[dWdW^\sigma ]=\rho dt\)