Research Article
Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models
Table 2
Numerical results for Example
1.
| | | Option prices with lattice | Option prices and intervals with LSM |
| | | 1 | 0.014987254820724 | 0.029606167588959
| | | 2 | 0.030190542190626 | | 5 | 4 | 0.030393224336490 | | | 7 | 0.030981333835160 | | | 10 | 0.031863879158063 |
| | | 1 | 0.068487810335143 | 0.081499912354419
| | | 2 | 0.081254039347033 | | 7 | 4 | 0.083605936631716 | | | 7 | 0.081680163494625 | | | 10 | 0.080301350887482 |
| | | 1 | 0.178948896057298 | 0.193857807991106
| | | 2 | 0.192329465764766 | | 10 | 4 | 0.195314383716280 | | | 7 | 0.199868029599249 | | | 10 | 0.193058780881166 |
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