A parameter object itself is essentially just a key. To get its value, you first look up the current parameterization in the current continuation's continuation-marks. The parameterization contains an immutable eq?-hash mapping parameter keys to thread cells. The parameter's value is the value of the thread cell in the current thread. Setting the parameter mutates the thread cell, but using parameterize with the parameter remaps the parameter to a new thread cell. (Actually, a parameter stores its initial thread cell, so a parameterization's size is limited to the number of distinct parameterized parameters, not the number of all created parameters.)
Ryan