Research Article
Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications
Table 6
Call option
,
,
,
, and
.
| Parameters | Exact formula | BS with implied volatility (34) | HW | ā | Price | Price | Error | Price | Error |
| 0.25 | 0.2882882 | 0.2882882 | | 0.28820185 | | 1 | 1.0103060 | 1.0103057 | | 1.010037675 | | 2.5 | 2.4709883 | 2.4709880 | | 2.470830954 | | 5 | 4.8771276 | 4.8771275 | | 4.877109923 | |
|
|