Research Article

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

Table 8

Call option , , , , and .

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

0.25 1.3887209 1.3887176
1 3.0389972 3.0389707
2.5 5.2954739 5.2953686
5 8.2781049 8.2778040