The Pricing of Asian Options in Uncertain Volatility Model

Table 1

Successive grid refinements demonstrating convergence of the results with the refinements when 𝑟=0.10, 𝑇=1, 𝜎=0.8, 𝜎=0.5, and 𝐾=95. The values are the option prices at 𝑆=100. Δ𝑆 and Δ𝐼 denote the grid spacing in directions 𝑆 and 𝐼, respectively. Δ𝑡=0.04. Execution times (in seconds) are in parentheses.

	Δ𝐼=0.95	Δ𝐼=0.475	Δ𝐼=0.2375	Δ𝐼=0.11875	Δ𝐼=0.059375
Δ𝑆=5.70	14.532	14.19	14.021	13.94	13.89
	(1.01)	(2.10)	(7.081)	(27.225)	(90)
Δ𝑆=2.85	14.42	14.08	13.914	13.82	13.781
	(3.08)	(7.13)	(23.012)	(76.51)	(292)
Δ𝑆=1.425	14.39	14.053	13.879	13.790	13.74
	(10.22)	(24.71)	(76.01)	(238)	(940)