Table 1.

Calibrated parameters. Parameter set A is calibrated on options Eurostoxx (9 November 2019), Parameter set B is calibrated on options on S&P500 (6 November 2020), Parameter set C is calibrated on options on VIX (6 November 2020). For sake of completeness, we indicate the initial value of the intensity ${\lambda }_0={\sigma }_0^2+\underset{\_}{\lambda }$

Set	$\underset{\_}{\lambda }$	$\alpha$	$\nu$	$\beta$	$\rho$	${\sigma }_0^2$	${\lambda }_0$
A	1.6372	50.1123	0.9040	1.1819	2.8853	0.0079	1.6451
B	2.9851	16.2035	1.6805	4.2392	1.1106	0.0290	3.0141
C	2.9731	14.4447	2.0494	3.4374	0.0498	0.0186	2.9917