Research Article
Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications
Table 9
Call option
,
,
,
, and
.
| Parameters | Exact formula | BS with implied volatility (34) | HW | | Price | Price | Error | Price | Error |
| 0.25 | 2.6404164 | | | | | 1 | 5.5191736 | | | | | 2.5 | 9.1446125 | | | | | 5 | 13.5553379 | | | | |
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