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 |
| 0.25 | 0.5356736 | 0.5356765 | | 0.5354323 | | 1 | 1.3886303 | 1.3886529 | | 1.3868801 | | 2.5 | 2.8506826 | 2.8507669 | | 2.8450032 | | 5 | 5.1658348 | 5.1660433 | | 5.1543092 | |
|
|