Table 4 Comparison of MBRT–CRRA and...

Table 4

Comparison of MBRT–CRRA and LSM–CRRA to value a European Call γ vs r

r//gamma	−0.9			−0.5			0			0.5			0.9
r//gamma	min	mean	max	min	mean	max	min	mean	max	min	mean	max	min	mean	max
0.05	1.698*			1.437*			1.040*			0.49*			0.00*
0.05	1.626	1.704	1.773	1.396	1.452	1.497	1.008	1.045	1.097	0.453	0.493	0.542	0.003	0.004	0.005
0.2	2.546*			2.311*			1.947*			1.390*			0.237*
0.2	2.501	2.565	2.642	2.26	2.327	2.37	1.907	1.958	2.009	1.289	1.398	1.455	0.197	0.235	0.288
0.35	3.422*			3.234*			2.955*			2.560*			1.556*
0.35	3.385	3.457	3.526	3.203	3.261	3.319	2.904	2.974	3.031	2.478	2.573	2.625	1.401	1.527	1.645
0.5	4.253*			4.109*			3.907*			3.659*			3.249*
0.5	4.191	4.289	4.349	4.077	4.139	4.205	3.892	3.935	3.998	3.609	3.672	3.764	3.134	3.236	3.31

r//gamma	−0.9			−0.5			0			0.5			0.9
r//gamma	min	mean	max	min	mean	max	min	mean	max	min	mean	max	min	mean	max
0.05	1.698*			1.437*			1.040*			0.49*			0.00*
0.05	1.626	1.704	1.773	1.396	1.452	1.497	1.008	1.045	1.097	0.453	0.493	0.542	0.003	0.004	0.005
0.2	2.546*			2.311*			1.947*			1.390*			0.237*
0.2	2.501	2.565	2.642	2.26	2.327	2.37	1.907	1.958	2.009	1.289	1.398	1.455	0.197	0.235	0.288
0.35	3.422*			3.234*			2.955*			2.560*			1.556*
0.35	3.385	3.457	3.526	3.203	3.261	3.319	2.904	2.974	3.031	2.478	2.573	2.625	1.401	1.527	1.645
0.5	4.253*			4.109*			3.907*			3.659*			3.249*
0.5	4.191	4.289	4.349	4.077	4.139	4.205	3.892	3.935	3.998	3.609	3.672	3.764	3.134	3.236	3.31

Note(s): In each risk-free scenario, the first row shows the MBRT–CRRA premium (*), while the second row reports the minimum, mean and maximum values of the LSM–CRRA method for 50 repetitions

Source(s): Authors’ own elaboration

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