Valuation of Insurance Products with Shout Options in a Jump-Diffusion Model

Table 3

Comparison with Cox [5] and Cheuk and Vorst [2] (parameters used: ).

No shout counter resets					Yearly shout counter reset
Number of shouts	1	2	5	10	1/yr (5 total)	2/yr (10 total)	3/yr (20 total)
Result in this paper
Asset nodes	Option value at
100	5.5703	7.7161	11.282	13.806	9.9503	12.413	14.477
200	5.5708	7.7228	11.286	13.819	9.9537	12.417	14.489
400	5.5714	7.7236	11.297	13.827	9.9548	12.419	14.494
800	5.5715	7.7244	11.301	13.829	9.9564	12.422	14.499
Course grid error	0.0051	0.0080	0.0094	0.013	0.00086	0.013	0.015
Result in [5]
Asset nodes	Option value at
100	5.5648	7.7144	11.278	13.793	9.9412	12.399	14.463
200	5.5697	7.7215	11.291	13.814	9.9524	12.415	14.485
400	5.5709	7.7233	11.294	13.820	9.9551	12.419	14.490
800	5.5712	7.7238	11.295	13.821	9.9557	12.419	14.491
Course grid error	0.0064	0.0094	0.017	0.028	0.0145	0.020	0.028
Result in [2]
Time steps	Option value at
100	5.59	7.74	11.22	13.53
250	5.58	7.73	11.27	13.71
500	5.58	7.73	11.28	13.77	N/A	N/A	N/A
1000	5.57	7.73	11.29	13.80
5000	5.57	7.72	11.29	13.82
Course grid error	0.02	0.02	0.07	0.29