An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing

Table 3

MSFT put option traded on 19/03/2021 at a price of , expired on 18/03/2021 () (from https://fr.finance.yahoo.com/quote/MSFT?p=MSFT).

Strike	Option price	Implied volatility	B&S	Error	Jump-diffusion	Error
80	0.63	25%	0	0.63	0.0338	0.592
100	1.1	12.5%	0	1.1	0.1557	0.9443
145	3.58	12.5%	0	3.58	1.2832	2.2968
150	4.05	6.25%	0	4.05	1.8354	2.2141
160	5.4	6.25%	0	5.4	3.0275	2.3725
185	9.81	6.25%	0	9.81	8.5283	1.2817
210	17.8	1.56%	0	17.8	21.7962	3.9962
215	19.8	1.56%	0	19.8	24.853	5.053
220	21.95	0.78%	0	21.95	21.5588	0.3912
225	24.25	0.78%	0	24.25	25.5089	1.2589
230	26.6	0.05%	0	26.6	27.7062	1.1062
255	41.48	0%	23.6801	17.7999	42.5198	5.4856
270	51.45	0%	38.6561	12.7939	56.9356	5.4856
275	55.2	0%	43.6481	11.5519	57.935	4.485
305	80.53	0%	73.6002	6.9298	71.3296	9.2004
355	126.68	0%	123.5202	3.1598	121.6777	5.0023
			Mean error	11.7003	Mean error	2.8106