X1-price of 1-asset | X2-price of 2-asset | T-strike time | Price of option in strike time, Monte Carlo method (RWOS) | Price of option in strike time, Exact solution (Jiang L) | Error |
1.2 | 1.3 | 0.3 | 1.275 | 1.273 | 0.001 |
3.5 | 3.8 | 0.2 | 3.718 | 3.712 | 0.005 |
1.5 | 1.9 | 0.3 | 1.863 | 1.860 | 0.002 |
1.9 | 2.1 | 0.2 | 2.054 | 2.050 | 0.003 |
2.4 | 2.2 | 0.3 | 2.315 | 2.321 | 0.005 |
1.5 | 1.5 | 0.5 | 1.487 | 1.496 | 0.008 |