Research Article
Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications
Table 4
Call option
,
,
,
, and
.
| Parameters | Exact formula | Approximation | HW | ā | Price | Price | Error | Price | Error |
| 0.25 | 2.6404164 | 2.6404455 | | 2.6401025 | | 1 | 5.5191736 | 5.5194053 | | 5.5166821 | | 2.5 | 9.1446125 | 9.1455159 | | 9.1349142 | | 5 | 13.5553379 | 13.5578351 | | 13.5286009 | |
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