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 | | | |
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