Research Article

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

Table 7

Call option , , , , and .

Parameters Exact formula BS with implied volatility (34) HW
ā€‰ Price Price Error Price Error

0.25 0.5356736 0.5356732
1 1.3886303 1.3886267
2.5 2.8506826 2.8506672
5 5.1658348 5.1657911