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