Table 6: Call option , , , , and .

Parameters Exact formula BS with implied volatility (34) HW
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