Table 5 The OEB approximate polynomial coefficients for the J-am (λ = −1.6, θ = 0.767) and Heston (v = 0.01, κ = 2,φ = 0.01 and ρ = −0.5) models, for various values of the volatility
From: Early exercise premium method for pricing American options under the J-model
OEB | S*(σ = 0,1) | S*(σ = 0,2) | S*(σ = 0,3) | S*(σ = 0,4) | S*(σ = 0,5) | |||||
|---|---|---|---|---|---|---|---|---|---|---|
J-am | Heston-am | J-am | Heston-am | J-am | Heston-am | J-am | Heston-am | J-am | Heston-am | |
α0 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 |
α1 | −88,7 | −182,8 | −251,4 | −242,6 | −357,3 | −572,9 | −469,3 | −396,1 | −577,6 | −684,3 |
α2 | 454,0 | 3781,6 | 4223,9 | 2148,9 | 5524,5 | 13660,0 | 7252,0 | −1198,9 | 8864,3 | 9248,4 |
α3 | 4719,5 | −47754,5 | −55634,7 | −4162,3 | −66543,0 | −219163,6 | −86741,4 | 119100,6 | −104209,1 | −86821,5 |
α4 | −113190,0 | 358207,8 | 481249,7 | −129020,2 | 526397,3 | 2134038,5 | 682209,7 | −1781952,0 | 805895,7 | 532016,2 |
α5 | 957015,7 | −1687800,5 | −2768878,8 | 1470870,0 | −2764903,7 | −13022337,6 | −3559002,7 | 13594552,2 | −4135421,6 | −2260576,2 |
α6 | −4473462,2 | 5132416,9 | 10680702,7 | −7709733,4 | 9728193,1 | 51049511,1 | 12413443,5 | −61391738,5 | 14195574,1 | 7125696,7 |
α7 | 12559747,8 | −10044517,7 | −27258807,6 | 23187361,5 | −22664547,0 | −128519111,3 | −28605887,8 | 170587764,1 | −32220275,1 | −16790157,4 |
α8 | −21096551,5 | 12180376,5 | 44059429,4 | −40996252,7 | 33535228,2 | 200843071,0 | 41770962,5 | −286783820,3 | 46384859,5 | 27432124,8 |
α9 | 19564855,4 | −8286347,9 | −40740040,3 | 39687366,2 | −28523653,2 | −177308022,0 | −34985276,1 | 267836101,2 | −38341325,4 | −26780575,1 |
α10 | −7712384,0 | 2399990,3 | 16372793,2 | −16255502,5 | 10614375,1 | 67563228,8 | 12792706,6 | −106721471,3 | 13851225,0 | 11487040,7 |