Research Article
Valuation of Insurance Products with Shout Options in a Jump-Diffusion Model
Table 2
Indicated values of
and convergence tolerance
(parameters used:
).
| | | | | Total iterations | 80 | 100 | 120 |
| | 5.2541 | 1.3135 | 0.2189 | | | 100 | 5.2541 | 1.3135 | 0.2189 | | | 117 | 5.2541 | 1.3135 | 0.2189 | | | 125 | 5.2541 | 1.3135 | 0.2189 | | | 133 | 5.2541 | 1.3135 | 0.2189 | | | 154 |
| | 5.3256 | 1.9703 | 0.6567 | | | 100 | 5.3257 | 1.9703 | 0.6567 | | | 117 | 5.3258 | 1.9703 | 0.6567 | | | 125 | 5.3258 | 1.9703 | 0.6567 | | | 133 | 5.3258 | 1.9703 | 0.6567 | | | 154 |
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