Carlo simulations of the stochastic approximation formula (8.10) (see Theorem (8.2.1.2)) In all the tests we use 10 7 sample paths In dimension 1, the stochastic approximation formula (8.10) is explicit and we denote its calculus by Proxy Price, SAFE Quad ,
BS forward implied volatilities of type A in % estimated by, p.99 ,
BS forward implied volatilities of type B in % estimated by, p.100 ,
volatilities (%) for the CEV model and order 2 and 3 approximations using normal, log-normal and displaced lognormal proxys for ? = 0, p.116 ,
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Down out barrier Call options prices in the CEV model (? = 0.5, ? = 0.25) obtained with the closed-form formula for the maturities ,
x avg ) for the maturities ,
x avg ) for the maturities ,
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