Research Article
Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications
Table 3
Call option
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,
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, and
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| Parameters | Exact formula | Approximation | HW | ā | Price | Price | Error | Price | Error |
| 0.25 | 1.3887209 | 1.3887438 | | 1.3883284 | | 1 | 3.0389972 | 3.0391797 | | 3.0359001 | | 2.5 | 5.2954739 | 5.2961870 | | 5.2835621 | | 5 | 8.2781049 | 8.2800813 | | 8.2459195 | |
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