Fig. 3

This figure shows the solution of the nonlinear Kolmogorov equation for the nonlinear Vasiček-model with boundary condition f(x)=(x−K)⁺ and f(x)=(x−K₁)⁺−2(x−K₂)⁺+(x−K₃)⁺,K=0.1,K₁=−0.2,K₂=0.3, and K₃=0.8. For each of the figures, the dashed lines show the solution of the Vasiček model with no uncertainty. The upper and lower solid lines show the upper and lower price bounds. The parameters for the computation are given in the table below the figures