Table 1 Option values across the level of ambiguity
High level of ambiguity | Modest level of ambiguity | Low level of ambiguity | |||||||
|---|---|---|---|---|---|---|---|---|---|
\({\mathbb{E}}(T)\) | \({X}_{h}\) | \({X}_{l}\) | Option value | \({X}_{h}\) | \({X}_{l}\) | Option value | \({X}_{h}\) | \({X}_{l}\) | Option value |
0.0 | 1.000 | 0.967 | 1.157 | 1.000 | 0.961 | 1.157 | 1.000 | 0.956 | 1.157 |
0.5 | 1.010 | 0.939 | 1.123 | 1.015 | 0.927 | 1.120 | 1.020 | 0.917 | 1.119 |
1.0 | 1.019 | 0.948 | 1.090 | 1.029 | 0.941 | 1.086 | 1.040 | 0.935 | 1.083 |
1.5 | 1.029 | 0.958 | 1.058 | 1.044 | 0.954 | 1.052 | 1.060 | 0.953 | 1.048 |
2.0 | 1.039 | 0.967 | 1.028 | 1.060 | 0.968 | 1.020 | 1.081 | 0.972 | 1.016 |
2.5 | 1.049 | 0.976 | 0.999 | 1.075 | 0.982 | 0.990 | 1.102 | 0.991 | 0.986 |
3.0 | 1.059 | 0.985 | 0.972 | 1.091 | 0.997 | 0.963 | 1.123 | 1.000 | 0.959 |
3.5 | 1.070 | 0.995 | 0.946 | 1.107 | 1.000 | 0.938 | 1.145 | 1.000 | 0.933 |
4.0 | 1.080 | 1.000 | 0.922 | 1.123 | 1.000 | 0.914 | 1.168 | 1.000 | 0.908 |
4.5 | 1.090 | 1.000 | 0.900 | 1.139 | 1.000 | 0.890 | 1.191 | 1.000 | 0.884 |
5.0 | 1.101 | 1.000 | 0.878 | 1.156 | 1.000 | 0.867 | 1.214 | 1.000 | 0.861 |