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Journal of Function Spaces
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2021
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Article
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Tab 4
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Research Article
The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach
Table 4
Comparison of the American option pricing with and without scale correction.
Date
Without correction
Fast-scale correction
Slow-scale correction
13/02/2017
0.6957
0.039
0.00494
14/03/2017
0.6957
0.039
0.00462
26/05/2017
0.6957
0.038
0.00224