Research Article
An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing
| Strike | Option price | Implied volatility | B&S | Error | Jump-diffusion | Error |
| 80 | 0.63 | 25% | 0 | 0.63 | 0.0338 | 0.592 | 100 | 1.1 | 12.5% | 0 | 1.1 | 0.1557 | 0.9443 | 145 | 3.58 | 12.5% | 0 | 3.58 | 1.2832 | 2.2968 | 150 | 4.05 | 6.25% | 0 | 4.05 | 1.8354 | 2.2141 | 160 | 5.4 | 6.25% | 0 | 5.4 | 3.0275 | 2.3725 | 185 | 9.81 | 6.25% | 0 | 9.81 | 8.5283 | 1.2817 | 210 | 17.8 | 1.56% | 0 | 17.8 | 21.7962 | 3.9962 | 215 | 19.8 | 1.56% | 0 | 19.8 | 24.853 | 5.053 | 220 | 21.95 | 0.78% | 0 | 21.95 | 21.5588 | 0.3912 | 225 | 24.25 | 0.78% | 0 | 24.25 | 25.5089 | 1.2589 | 230 | 26.6 | 0.05% | 0 | 26.6 | 27.7062 | 1.1062 | 255 | 41.48 | 0% | 23.6801 | 17.7999 | 42.5198 | 5.4856 | 270 | 51.45 | 0% | 38.6561 | 12.7939 | 56.9356 | 5.4856 | 275 | 55.2 | 0% | 43.6481 | 11.5519 | 57.935 | 4.485 | 305 | 80.53 | 0% | 73.6002 | 6.9298 | 71.3296 | 9.2004 | 355 | 126.68 | 0% | 123.5202 | 3.1598 | 121.6777 | 5.0023 | | | | Mean error | 11.7003 | Mean error | 2.8106 |
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