Research Article
Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
Table 4
Numerical results for Example
4.
| | | Option prices with lattice | Option prices and interval with LSM |
| 3 | 1 | 0.005974297 | 0.005065587636226
| 2 | 0.004223692 | 3 | 0.004502351 | 4 | 0.005530355 | 5 | 0.005040507 |
| 4 | 1 | 0.014427788 | 0.015018277749022
| 2 | 0.014590056 | 3 | 0.013984718 | 4 | 0.017223364 | 5 | 0.015988485 |
| 5 | 1 | 0.022129134 | 0.034841312405081
| 2 | 0.030507636 | 3 | 0.030853276 | 4 | 0.035594538 | 5 | 0.034694665 |
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