Research Article
Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
Table 5
Numerical results for Example
5.
| | | Option prices with lattice | Option prices and intervals with LSM |
| 3 | 2 | 0.005974297 | 0.005065587636226
| 4 | 0.005974297 | 6 | 0.005974297 | 8 | 0.005974297 | 10 | 0.005974297 |
| 4 | 2 | 0.014427788 | 0.015018277749022
| 4 | 0.014427788 | 6 | 0.014427788 | 8 | 0.014427788 | 10 | 0.014427788 |
| 5 | 2 | 0.02194509 | 0.034841312405081
| 4 | 0.022129134 | 6 | 0.022164226 | 8 | 0.024355984 | 10 | 0.024276964 |
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