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Theory and Modern Applications

Table 1 Price of American better-of option. All experiments are conducted using the MATLAB on a PC with Intel(R) Core(TM) i7 3.4 GHz CPU. The parameter values used in the experiments are \(T=1\), \(r=0.04\), \(q_{1}=0.02\), \(\sigma _{1}=0.3\), \(\rho =0.3\), \(s_{1}=s_{2}=100\)

From: An integral equation representation for American better-of option on two underlying assets

\(\sigma _{2}\)

\(q_{2}\)

BTM (20000)

Time (s)

Our approach

Time (s)

R-err

0.2

0.02

101.969

37.876

102.008

0.079

3.76 × 10−4

0.03

101.728

38.066

101.832

0.082

1.09 × 10−3

0.04

101.522

37.815

101.738

0.083

2.13 × 10−3

0.3

0.02

103.108

37.925

103.098

0.081

9.64 × 10−5

0.03

102.805

38.123

102.822

0.074

1.71 × 10−4

0.04

102.546

38.075

102.616

0.095

6.87 × 10−4

0.4

0.02

105.041

37.919

105.010

0.081

2.87 × 10−4

0.03

104.689

38.034

104.659

0.079

2.88 × 10−4

0.04

104.374

37.926

104.358

0.092

1.53 × 10−4