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Valuation of Spread and Basket Options

SRG 13.66 15.52 17.16 18.64 20.02 21.32 22.55 23.73 24.82* 27.05 29.24 31.35 33.40 35.39 37.33 39.24 39.71** 41.45* 43.44* 45.67* 48.11* 50.72* 53.47* 56.37*

OTM 10%, K = 165 SLN USD 14.37** 13.55 15.98* 15.38 17.46* 17.06 18.85 18.60 20.17 20.02 21.43 21.35 22.64 22.61 23.81 23.80 27.24*** 24.42 28.88** 26.60* 30.54* 28.78* 32.21* 30.96* 33.90 33.11* 35.61 35.18* 37.33 37.14* 39.07 39.01* 42.99*** 37.03 44.05*** 39.00* 45.26** 41.07* 46.63* 43.36* 48.16* 45.89* 49.87 48.54* 51.75 51.16* 53.79* 53.62*

MC 13.61 15.55 17.25 18.78 20.19 21.51 22.76 23.94 24.46 27.06 29.43 31.62 33.69 35.65 37.55 39.38 37.32 39.94 42.51 45.00 47.41 49.75 52.06 54.37

SRG 20.57 22.41 24.00 25.43 26.73 27.95 29.11 30.21 30.59* 32.85 35.06 37.18 39.20 41.15 43.03 44.88 44.87** 46.62* 48.63* 50.87* 53.31* 55.91* 58.63* 61.48*
Table 5 Values of Basket Calls (T = 2)

ATM,K = 150 SLN USD Panel A: σ = 30% 21.70** 20.50 23.12* 22.33 24.44* 23.93 25.69 25.38 26.89 26.71 28.04 27.95 29.15 29.11 30.23 30.22 Panel B: σ = 50% 33.41*** 29.99 34.94** 32.37 36.49* 34.60 38.06* 36.76 39.64 38.84 41.25 40.82 42.87 42.68 44.51 44.45 Panel C: σ = 70% 48.21*** 41.65* 49.20** 43.86* 50.35** 46.07* 51.64* 48.43* 53.10* 50.93* 54.72 53.50

MC 20.64 22.53 24.13 25.57 26.88 28.11 29.26 30.36 30.25 32.93 35.28 37.42 39.41 41.29 43.08 44.81 42.17 44.94 47.54 50.00 52.35 54.61 56.82 59.01 is lower than 1%. RMSE (USD, SLN, SRG) = (0.72, 1.84, 1.01) and MAE (USD, SLN, SRG) = (1.63, 6.17, 2.94).

SRG 30.02 31.46 32.76 33.96 35.07 36.11 37.10 38.06 37.76 39.91 42.02 44.05 45.98 47.82 49.60 51.34 50.86** 52.59* 54.56* 56.77* 59.17* 61.72* 64.37* 67.14*

ITM 10%, K = 135 SLN USD 31.20* 30.07 32.23* 31.49 33.24 32.76 34.24 33.93 35.21 35.03 36.16 36.07 37.10 37.06 38.02 38.00 40.78** 37.03* 42.12** 39.48* 43.50* 41.64* 44.90* 43.67* 46.33 45.58* 47.78 47.38 49.26 49.08 50.75 50.70 54.15*** 47.14* 55.07** 49.60* 56.12** 51.93* 57.32* 54.30* 58.67* 56.72* 60.17 59.13* 61.82 61.40* 63.62 63.51*

MC 30.24 31.65 32.92 34.09 35.19 36.22 37.21 38.15 37.54 40.08 42.27 44.26 46.09 47.82 49.47 51.06 47.98 50.79 53.34 55.71 57.94 60.08 62.15 64.20

-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

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