105

6.5570 (0.0334)

6.1636

−6.38%

6.5555 (0.0334)

6.1614

−6.40%

110

4.5517 (0.0284)

4.1869

−8.71%

4.5502 (0.0284)

4.1847

−8.73%

115

3.0590 (0.0235)

2.7530

−11.12%

3.0576 (0.0235)

2.7510

−11.14%

120

1.9949 (0.0191)

1.7552

−13.65%

1.9935 (0.0191)

1.7534

−13.69%

5

−0.5

−0.5

80

24.6577 (0.0508)

24.6571

−0.00%

24.6594 (0.0508)

24.6588

−0.00%

85

20.1758 (0.0492)

20.1431

−0.16%

20.1776 (0.0492)

20.1451

−0.16%

90

16.0215 (0.0465)

15.8785

−0.90%

16.0236 (0.0466)

15.8811

−0.90%

95

12.3172 (0.0430)

12.0432

−2.27%

12.3196 (0.0430)

12.0464

−2.27%

100

9.1541 (0.0386)

8.7932

−4.10%

9.1568 (0.0386)

8.7969

−4.09%

105

6.5792 (0.0337)

6.1939

−6.22%

6.5818 (0.0337)

6.1974

−6.20%

110

4.5789 (0.0286)

4.2220

−8.45%

4.5811 (0.0286)

4.2249

−8.43%

115

3.0899 (0.0238)

2.7908

−10.72%

3.0919 (0.0238)

2.7934

−10.69%

120

2.0307 (0.0194)

1.7970

−13.01%

2.0324 (0.0194)

1.7991

−12.96%

${\rho }_{\text{S}\eta }$

${\rho }_{\text{X}\gamma }$

Strike

MC Price

Approx

Rel Error

MC Price

Approx

Rel Error

6

−0.5

−0.5

80

24.6515 (0.0506)

24.6508

−0.00%

24.6515 (0.0506)

24.6508

−0.00%

85

20.1751 (0.0490)

20.1416

−0.16%

20.1748 (0.0490)

20.1412

−0.18%

90

16.0203 (0.0463)

15.8749

−0.92%

16.0195 (0.0463)

15.8738

−0.93%

95

12.3113 (0.0427)

12.0326

−2.32%

12.3101 (0.0427)

12.0308

−2.32%

100

9.1420 (0.0383)

8.7744

−4.19%

9.1406 (0.0383)

8.7723

−4.20%

105

6.5574 (0.0335)

6.1638

−6.39%

6.5562 (0.0334)

6.1619

−6.40%

110

4.5516 (0.0284)

4.1866

−8.72%

4.5562 (0.0284)

4.1900

−8.74%

115

3.0605 (0.0236)

2.7545

−11.11%

3.0592 (0.0236)

2.7527

−11.14%

120

1.9973 (0.0192)

1.7578

−13.62%

1.9959 (0.0192)

1.7560

−13.66%