Number of shouts
|
1
|
2
|
5
|
10
|
1/yr
(5 total)
|
2/yr
(10 total)
|
4/yr
(20 total)
|
Algorithm in this paper |
Algorithm in this paper |
Algorithm in this
paper |
Algorithm in this paper |
Algorithm in this paper |
Algorithm in
this paper |
Algorithm in this paper |
Algorithm in this
paper |
Asset nodes |
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option
value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at
\(S=100\)
|
100 |
5.5701 |
7.7158 |
11.280 |
13.805 |
9.9502 |
12.411 |
14.474 |
200 |
5.5706 |
7.7226 |
11.285 |
13.818 |
9.9535 |
12.416 |
14.488 |
400 |
5.5713 |
7.7235 |
11.296 |
13.825 |
9.9549 |
12.419 |
14.492 |
800 |
5.5714 |
7.7242 |
11.299 |
13.829 |
9.9561 |
12.420 |
14.497 |
Course grid error |
0.0052 |
0.0081 |
0.0095 |
0.014 |
0.00087 |
0.014 |
0.016 |
Result in [4] |
Result in [4] |
Result in [4] |
Result in
[4] |
Result in [4] |
Result in [4] |
Result in [4] |
Result in [4] |
Asset nodes |
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option
value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at
\(S=100\)
|
100 |
5.5648 |
7.7144 |
11.278 |
13.793 |
9.9412 |
12.399 |
14.463 |
200 |
5.5697 |
7.7215 |
11.291 |
13.814 |
9.9524 |
12.415 |
14.485 |
400 |
5.5709 |
7.7233 |
11.294 |
13.820 |
9.9551 |
12.419 |
14.49 |
800 |
5.5712 |
7.7238 |
11.295 |
13.821 |
9.9557 |
12.419 |
14.491 |
Course grid error |
0.0064 |
0.0094 |
0.017 |
0.028 |
0.0145 |
0.020 |
0.028 |
Result in [2] |
Result in [2] |
Result in [2] |
Result in
[2] |
Result in [2] |
Result in [2] |
Result in [2] |
Result in [2] |
Time steps |
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value at \(S=100\)
|
Option value
at \(S=100\)
|
Option value at \(S=100\)
|
Option value at
\(S=100\)
|
100 |
5.59 |
7.74 |
11.22 |
13.53 |
|
|
|
250 |
5.58 |
7.73 |
11.27 |
13.71 |
|
|
|
500 |
5.58 |
7.73 |
11.28 |
13.77 |
N/A |
N/A |
N/A |
1000 |
5.57 |
7.73 |
11.29 |
13.80 |
|
|
|
5000 |
5.57 |
7.72 |
11.29 |
13.82 |
|
|
|
Course grid error |
0.02 |
0.02 |
0.07 |
0.29 |
|
|
|