Research Article
Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications
Table 8
Call option
,
,
,
, and
.
| Parameters | Exact formula | BS with implied volatility (34) | HW | ā | Price | Price | Error | Price | Error |
| 0.25 | 1.3887209 | 1.3887176 | | | | 1 | 3.0389972 | 3.0389707 | | | | 2.5 | 5.2954739 | 5.2953686 | | | | 5 | 8.2781049 | 8.2778040 | | | |
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