Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model

Table 16

Price of the European double barrier call options with different barrier levels: LARS-type method.

	LARS method					LARSI method
	90	80	70	60	50	90	80	70	60	50
Regime 1
110	0.0016	0.0397	0.0746	0.0791	0.0793		0.0248	0.0498	0.0542	0.0544
120	0.1113	0.4554	0.6065	0.6210	0.6218	0.1028	0.4304	0.5759	0.5941	0.5949
130	0.7303	1.6610	1.9502	1.9741	1.9753	0.7090	1.6224	1.9079	1.9387	1.9400
140	2.0142	3.5940	3.9971	4.0276	4.0290	1.8812	3.4030	3.7974	3.8365	3.8381
150	3.3872	5.4423	5.9130	5.9469	5.9485	3.2997	5.3257	5.7937	5.8378	5.8395
Regime 2
110		0.0086	0.0322	0.0416	0.0430		0.0050	0.0201	0.0282	0.0294
120	0.0174	0.1552	0.3127	0.3537	0.3584	0.0159	0.1446	0.2899	0.3374	0.3422
130	0.2009	0.7600	1.1536	1.2335	1.2412	0.1933	0.7364	1.1129	1.2087	1.2169
140	0.8040	2.0252	2.6775	2.7907	2.8005	0.7321	1.8843	2.4997	2.6349	2.6454
150	1.6795	3.5227	4.3689	4.5025	4.5133	1.6185	3.4164	4.2349	4.3980	4.4097