Theory and Modern Applications
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 |