Proactive Hedging European Call Option Pricing with Linear Position Strategy

Table 2

Price ratios of exotic option allowing proactive hedging relative to classical European option under constant parameters (.

				price ratios
50%	80%	0	0	0.77	0.80	0.82
50%	80%	0	4	0.95	0.97	0.98
50%	80%	0	10	1.00	1.00	1.00
50%	80%	50%	0	0.41	0.42	0.43
50%	80%	50%	4	0.85	0.88	0.91
50%	80%	50%	10	0.99	0.99	1.00
50%	100%	0	0	0.71	0.74	0.78
50%	100%	0	4	0.94	0.96	0.97
50%	100%	0	10	1.00	1.00	1.00
50%	100%	50%	0	0.35	0.37	0.39
50%	100%	50%	4	0.84	0.87	0.90
50%	100%	50%	10	0.98	0.99	1.00
70%	80%	0	0	0.83	0.85	0.87
70%	80%	0	4	0.97	0.98	0.99
70%	80%	0	10	1.00	1.00	1.00
70%	80%	50%	0	0.44	0.44	0.45
70%	80%	50%	4	0.85	0.88	0.91
70%	80%	50%	10	0.99	0.99	1.00
70%	100%	0	0	0.79	0.82	0.84
70%	100%	0	4	0.96	0.97	0.98
70%	100%	0	10	1.00	1.00	1.00
70%	100%	50%	0	0.39	0.41	0.42
70%	100%	50%	4	0.85	0.88	0.91
70%	100%	50%	10	0.99	0.99	1.00
100%	80%	0	0	0.88	0.90	0.91
100%	80%	0	4	0.98	0.98	0.99
100%	80%	0	10	1.00	1.00	1.00
100%	80%	50%	0	0.46	0.46	0.47
100%	80%	50%	4	0.86	0.89	0.91
100%	80%	50%	10	0.99	0.99	1.00
100%	100%	0	0	0.85	0.87	0.89
100%	100%	0	4	0.97	0.98	0.99
100%	100%	0	10	1.00	1.00	1.00
100%	100%	50%	0	0.43	0.44	0.44
100%	100%	50%	4	0.85	0.88	0.91
100%	100%	50%	10	0.99	0.99	1.00