Table 2 Comparison of the value of a... | Emerald Publishing

Table 2

Comparison of the value of a Bermudan call option between the MBRT–CRRA and the LSM–CRRA

Case	Method \\T	1	1//2	1//3	1//4	1//6	1//8	1//12
Risk-Averse (gamma = 0.3)	MBRT-CRRA	0.981	0.669	0.538	0.461	0.372	0.32	0.259
Risk-Averse (gamma = 0.3)	LSM-CRRA	0.997	0.671	0.541	0.466	0.376	0.322	0.261
Risk-Neutral (gamma = 0.0)	MBRT-CRRA	1.422	0.963	0.769	0.658	0.528	0.453	0.366
Risk-Neutral (gamma = 0.0)	LSM-CRRA	1.428	0.963	0.78	0.656	0.534	0.463	0.368
Risk-Lover (gamma = −0.3)	MBRT-CRRA	1.809	1.227	0.981	0.838	0.673	0.577	0.465
Risk-Lover (gamma = −0.3)	LSM-CRRA	1.823	1.239	0.982	0.842	0.676	0.579	0.467

Case	Method \\T	1	1//2	1//3	1//4	1//6	1//8	1//12
Risk-Averse (gamma = 0.3)	MBRT-CRRA	0.981	0.669	0.538	0.461	0.372	0.32	0.259
Risk-Averse (gamma = 0.3)	LSM-CRRA	0.997	0.671	0.541	0.466	0.376	0.322	0.261
Risk-Neutral (gamma = 0.0)	MBRT-CRRA	1.422	0.963	0.769	0.658	0.528	0.453	0.366
Risk-Neutral (gamma = 0.0)	LSM-CRRA	1.428	0.963	0.78	0.656	0.534	0.463	0.368
Risk-Lover (gamma = −0.3)	MBRT-CRRA	1.809	1.227	0.981	0.838	0.673	0.577	0.465
Risk-Lover (gamma = −0.3)	LSM-CRRA	1.823	1.239	0.982	0.842	0.676	0.579	0.467

Source(s): Authors’ own elaboration