Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

Table 3

Numerical results for Example 2.

𝑇	𝐾	Option prices with lattice	Option prices and intervals with LSM
5	2	0.028187456298155	0.029606167588959; 0.028040.03117
	4	0.029090524706680
	6	0.029930565933099
	10	0.030190542190626
	20	0.029391074539888
	40	0.029489977773055
10	2	0.197070210662258	0.193857807991106; 0.188420.19929
	4	0.195700639175277
	6	0.196465071653130
	10	0.192329465764766
	20	0.193696054251151
	40	0.194423204241922
30	2	1.182560819901510	1.205198709585444; 1.193721.22670
	4	1.197816540629624
	6	1.200350772727828
	10	1.202714267674711
	20	1.203407511987706
	40	1.203545193979154