The Pricing of Asian Options in Uncertain Volatility Model

Table 3

Successive grid refinements demonstrating convergence of the results with the refinements when 𝑟=0.10, 𝜎=0.5, 𝜎=1, 𝜎=0.4, 𝑇=1, and tolerance=10⁻⁴. The values are the option price at 𝑆=100. Δ𝑅 denotes the grid spacing, and Δ𝜏 denotes the time stepping. Execution times (in seconds) are in parentheses.

	Δ𝑅=0.008	Δ𝑅=0.004	Δ𝑅=0.002	Δ𝑅=0.001	Δ𝑅=0.0005
	Δ𝜏=0.008	Δ𝜏=0.004	Δ𝑡=0.002	Δ𝑡=0.001	Δ𝑡=0.0005
𝑐	12.698	12.129	11.828	11.673	11.592
	(1.00)	(2.19)	(9.08)	(35.66)	(141.38)
𝑝	7.831	7.274	6.981	6.828	6.753
	(1.01)	(2.06)	(9.05)	(34.10)	(143.12)