Figure 12
Reduction in risk capital for the parameters S0=1,μˆ=0.07,T=0.3,σˆ=0.15,Λ=1.1,λ=1.5,μJ=0.02,σJ=0.1,B=Bˆ=(0.97,0.97,0.79),α=0.995 and the obtained strikes of the put option K* = (1.02, 1.03, 1.18) (see Example 3.2, 4.2, 5.4) Refer to the image caption for details.

Reduction in risk capital for the parameters S0=1,μˆ=0.07,T=0.3,σˆ=0.15,Λ=1.1,λ=1.5,μJ=0.02,σJ=0.1,B=Bˆ=(0.97,0.97,0.79),α=0.995 and the obtained strikes of the put option K* = (1.02, 1.03, 1.18) (see Example 3.2, 4.2, 5.4)

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