Research Article

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

Table 2

Call option , , , , and .

Parameters Exact formula Approximation HW
ā€‰Price Price Error Price Error

0.250.53567360.5356765 0.5354323
11.38863031.3886529 1.3868801
2.52.85068262.8507669 2.8450032
55.16583485.1660433 5.1543092