Table 2:
The effects of volatility of volatility, exercise price
, maturity time
, and correlation
on option values.
Strike price
months
90
11.5004
11.5122
11.4827
11.4829
11.4647
11.4527
95
7.5901
7.6000
7.5745
7.5741
7.5585
7.5472
100
4.4325
4.4323
4.4315
4.4307
4.4303
4.4287
105
2.5442
2.5347
2.5573
2.5567
2.5567
2.5780
110
1.1258
1.1109
1.1476
1.1476
1.1690
1.1830
115
0.5169
0.5043
0.5361
0.5364
0.5532
0.5681
years
90
22.5229
22.5682
22.4438
22.4398
22.3592
22.2959
95
19.4525
19.4825
19.3935
19.3872
19.3293
19.2776
100
16.6650
16.6750
16.6337
16.6255
16.5979
16.5633
105
14.3313
14.3225
14.3271
14.3179
14.3189
14.3018
110
11.9850
11.9507
12.0183
12.0083
12.0476
12.0549
115
10.1354
10.0809
10.1994
10.1896
10.2594
10.2871