Table 6 Comparison of MBRT–CRRA and...

Table 6

Comparison of MBRT–CRRA and LSM–CRRA to value an American call γ vs K

K//gamma	−0.9			−0.5			0			0.5			0.9
K//gamma	min	Mean	max	min	Mean	max	min	Mean	max	min	Mean	max	min	Mean	max
5		5.479*			5.377*			5.242*			5.095*			5.000*
5	5.492	5.513	5.553	5.336	5.39	5.445	5.214	5.264	5.328	5.032	5.124	5.198	5.013	5.046	5.072
7.5		3.379*			3.184*			2.893*			2.523*			2.500*
7.5	3.382	3.405	3.446	3.187	3.201	3.223	2.839	2.902	2.96	2.513	2.552	2.584	2.498	2.503	2.514
10		1.698*			1.437*			1.040*			0.529*			0.105*
10	1.626	1.706	1.78	1.445	1.466	1.502	0.985	1.047	1.079	0.517	0.538	0.567	0.102	0.11	0.123
12.5		0.692*			0.485*			0.227*			0.034*			0.000*
12.5	0.715	0.731	0.757	0.45	0.494	0.536	0.22	0.235	0.258	0.033	0.037	0.04	0	0	0
15		0.240*			0.131*			0.034*			0.000*			0.000*
15	0.237	0.262	0.3	0.136	0.15	0.177	0.025	0.038	0.049	0.001	0.001	0.002	0	0	0

K//gamma	−0.9			−0.5			0			0.5			0.9
K//gamma	min	Mean	max	min	Mean	max	min	Mean	max	min	Mean	max	min	Mean	max
5		5.479*			5.377*			5.242*			5.095*			5.000*
5	5.492	5.513	5.553	5.336	5.39	5.445	5.214	5.264	5.328	5.032	5.124	5.198	5.013	5.046	5.072
7.5		3.379*			3.184*			2.893*			2.523*			2.500*
7.5	3.382	3.405	3.446	3.187	3.201	3.223	2.839	2.902	2.96	2.513	2.552	2.584	2.498	2.503	2.514
10		1.698*			1.437*			1.040*			0.529*			0.105*
10	1.626	1.706	1.78	1.445	1.466	1.502	0.985	1.047	1.079	0.517	0.538	0.567	0.102	0.11	0.123
12.5		0.692*			0.485*			0.227*			0.034*			0.000*
12.5	0.715	0.731	0.757	0.45	0.494	0.536	0.22	0.235	0.258	0.033	0.037	0.04	0	0	0
15		0.240*			0.131*			0.034*			0.000*			0.000*
15	0.237	0.262	0.3	0.136	0.15	0.177	0.025	0.038	0.049	0.001	0.001	0.002	0	0	0

Note(s): In each case of strike value, the first row shows the value of the MBRT–CRRA premium (*), while the second row reports the minimum, mean and maximum values obtained from the LSM–CRRA method across 50 repetitions

Source(s): Authors’ own elaboration

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