]>

Table 5: CEV down-and-out put option with time-dependent volatility. We extend our model to the time-dependent case with the volatility term structure expressed as where , , and . Other input parameters are , , and, . In the Monte Carlo simulation, and number of ensembles

Lower bound of Upper bound of Monte-Carlo result 16 0.80290 0.81341 0.82993 18 0.93028 0.93662 0.95328 20 0.73071 0.73371 0.74182 22 0.47491 0.47632 0.47829 24 0.27759 0.27822 0.27923 16 0.79012 0.80025 0.81260 18 0.87756 0.88452 0.89777 20 0.67388 0.67754 0.68690 22 0.44145 0.44324 0.44091 24 0.26678 0.26764 0.26970 16 0.77761 0.78771 0.79748 18 0.82329 0.83014 0.84160 20 0.61817 0.62192 0.62888 22 0.40516 0.40728 0.40804 24 0.25092 0.25193 0.25603