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Valuation of Spread and Basket Options

SRG 6.53 7.82 8.98 10.05 11.05 12.00 12.90 13.76 13.54 15.49 17.27 18.93 20.50* 22.00* 23.44* 24.82* 21.78* 23.94 26.07 28.15 30.17* 32.14* 34.07 35.99

OTM 10%, K = 165 SLN USD 6.56* 6.46 7.85 7.75 9.01 8.94 10.09 10.04 11.09 11.06 12.04 12.02 12.94 12.93 13.80 13.80 14.31** 13.42 16.04* 15.30* 17.67* 17.12* 19.22 18.86* 20.72 20.50* 22.17 22.05 23.57 23.52 24.94 24.93 23.86*** 21.50 25.54** 23.54* 27.24* 25.65* 28.95* 27.80* 30.68 29.94* 32.42 32.01* 34.17 33.99* 35.94 35.88

MC 6.49 7.81 9.02 10.12 11.15 12.11 13.02 13.88 13.43 15.49 17.37 19.10 20.72 22.26 23.72 25.12 21.46 23.93 26.25 28.43 30.49 32.47 34.38 36.24

SRG 12.85 14.26 15.47 16.55 17.54 18.46 19.32 20.15 19.31 21.41 23.27 24.96 26.53 28.00 29.39 30.74 27.16* 29.43 31.63 33.74 35.78 37.73 39.63 41.50
Table 3 Values of Basket Calls (T = 1)

ATM,K = 150 SLN USD Panel A: σ = 30% 13.31* 12.80 14.53* 14.21 15.63 15.44 16.65 16.54 17.60 17.54 18.50 18.47 19.36 19.34 20.18 20.17 Panel B: σ = 50% 20.66** 19.17 22.30* 21.24* 23.86* 23.13* 25.34 24.87* 26.76 26.49 28.14 28.00 29.48 29.42 30.78 30.76 Panel C: σ = 70% 29.75*** 26.69 31.36** 28.97* 32.97* 31.18* 34.60* 33.36* 36.25 35.47* 37.90 37.48* 39

MC 12.87 14.31 15.54 16.63 17.63 18.56 19.43 20.26 19.29 21.51 23.42 25.15 26.73 28.22 29.62 30.96 26.82 29.47 31.84 34.01 36.03 37.95 39.78 41.56 PPE is lower than 1%. RMSE (USD, SLN, SRG) = (0.31, 0.82, 0.17) and MAE (USD, SLN, SRG) = (0.66, 3.18, 0.34).

SRG 22.90 23.89 24.80 25.64 26.43 27.18 27.89 28.57 27.29 29.25 30.99 32.57 34.01 35.37 36.65 37.88 33.98 36.21 38.38 40.44 42.41 44.29 46.11 47.88

ITM 10%, K = 135 SLN USD 23.46* 22.94 24.24* 23.91 25.02 24.80 25.77 25.64 26.50 26.42 27.21 27.17 27.90 27.88 28.57 28.57 28.97** 27.20 30.36* 29.18 31.69* 30.91 32.98 32.49 34.24 33.95 35.46 35.31 36.66 36.59 37.83 37.81 36.91** 33.34* 38.35** 35.76* 39.82* 37.97* 41.30* 40.06* 42.81 42.05* 44.33 43.92* 45.87 45.69 47.42 47.37

MC 23.01 23.98 24.88 25.72 26.51 27.25 27.97 28.65 27.44 29.46 31.19 32.75 34.18 35.52 36.79 38.00 33.72 36.35 38.62 40.67 42.58 44.37 46.07 47.72

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

ρ ρ ρ

22