The Pricing of Asian Options in Uncertain Volatility Model

Table 2

Fixed strike Asian call values when 𝑟=0.10 and 𝐾=95. The values are the option prices at 𝑆=100. Our results are denoted by Asian fixed strike, which calculated with Δ𝜏=0.01,0.02,0.04, Δ𝐼=0.059375,0.11875,0.2375, and Δ𝑆=2.85 for maturities of one quarter, half a year, and one year, respectively. Z, F, and V refer to the result of Zvan et al. [17]. Execution times (in seconds) are in parentheses.

𝜎	𝜎	𝑇	Asian fixed strike	Z, F, and V
0.2	0.5	0.25	6.190 (23.0)	6.133
		0.5	7.199 (24.0)	7.244
		1	9.204 (23.6)	9.316
	1	0.25	6.56 (23.0)	6.501
		0.5	7.99 (24.1)	7.921
		1	10.44 (25.0)	10.309
	2	0.25	8.30 (24.1)	8.123
		0.5	10.55 (24.4)	10.357
		1	13.91 (25.2)	13.721