Table 3 Comparison of the value of a...

Table 3

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

Sigma//gamma	−0.9			−0.5			0			0.5			0.9
Sigma//gamma	min	mean	max	min	mean	max	min	mean	max	min	mean	max	min	mean	max
0.05	0.14*			0.120*			0.082*			0.04*			0.006*
0.05	0.141	0.152	0.158	0.117	0.122	0.126	0.08	0.083	0.085	0.04	0.042	0.044	0.007	0.008	0.009
0.2	0.982*			0.831*			0.608*			0.338*			0.074*
0.2	0.964	0.995	1.03	0.824	0.846	0.876	0.599	0.617	0.645	0.315	0.342	0.368	0.064	0.074	0.082
0.35	1.732*			1.524*			1.175*			0.691*			0.15 *
0.35	1.7	1.749	1.815	1.51	1.544	1.601	1.153	1.192	1.228	0.663	0.699	0.737	0.148	0.16	0.176
0.5	2.339*			2.139*			1.742*			1.086*			0.252*
0.5	2.291	2.348	2.411	2.113	2.165	2.227	1.695	1.753	1.803	1.047	1.1	1.144	0.241	0.266	0.292

Sigma//gamma	−0.9			−0.5			0			0.5			0.9
Sigma//gamma	min	mean	max	min	mean	max	min	mean	max	min	mean	max	min	mean	max
0.05	0.14*			0.120*			0.082*			0.04*			0.006*
0.05	0.141	0.152	0.158	0.117	0.122	0.126	0.08	0.083	0.085	0.04	0.042	0.044	0.007	0.008	0.009
0.2	0.982*			0.831*			0.608*			0.338*			0.074*
0.2	0.964	0.995	1.03	0.824	0.846	0.876	0.599	0.617	0.645	0.315	0.342	0.368	0.064	0.074	0.082
0.35	1.732*			1.524*			1.175*			0.691*			0.15 *
0.35	1.7	1.749	1.815	1.51	1.544	1.601	1.153	1.192	1.228	0.663	0.699	0.737	0.148	0.16	0.176
0.5	2.339*			2.139*			1.742*			1.086*			0.252*
0.5	2.291	2.348	2.411	2.113	2.165	2.227	1.695	1.753	1.803	1.047	1.1	1.144	0.241	0.266	0.292

Note(s): In each volatility scenario, the first row displays the MBRT–CRRA premium (*), while the second row presents the minimum, mean and maximum values of the LSM–CRRA method over 50 repetitions

Source(s): Authors’ own elaboration

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