Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate

Table 1

option prices with different maturities, strike prices, and varying n.

			Option price	CPU (sec.)				Option price	CPU (sec.)
0.5	90	5	17.8597	0.287	1.5	90	5	26.4805	0.291
		10	17.7859	0.291			10	25.2393	0.294
		15	17.7849	0.294			15	25.2254	0.299
		20	17.7849	0.296			20	25.2251	0.302
		25	17.7849	0.301			25	25.2251	0.307
		30	17.7849	0.312			30	25.2251	0.315
	100	5	9.7733	0.279		100	5	19.8642	0.276
		10	9.8624	0.288			10	19.1846	0.285
		15	9.8623	0.290			15	19.1758	0.290
		20	9.8623	0.295			20	19.1755	0.302
		25	9.8623	0.298			25	19.1755	0.309
		30	9.8623	0.302			30	19.1755	0.311
	110	5	4.2061	0.283		110	5	14.1405	0.283
		10	4.5395	0.291			10	14.0976	0.291
		15	4.5415	0.304			15	14.1003	0.297
		20	4.5415	0.306			20	14.1002	0.304
		25	4.5415	0.312			25	14.1002	0.310
		30	4.5415	0.315			30	14.1002	0.315
1	90	5	22.3192	0.268	3	90	5	30.5831	0.289
		10	22.0988	0.283			10	29.6250	0.293
		15	22.0938	0.287			15	29.2870	0.299
		20	22.0938	0.296			20	29.2835	0.305
		25	22.0938	0.313			25	29.2835	0.314
		30	22.0938	0.319			30	29.2835	0.317
	100	5	15.0971	0.281		100	5	26.7286	0.268
		10	15.1874	0.287			10	25.6231	0.284
		15	15.1850	0.294			15	25.3192	0.291
		20	15.1849	0.298			20	25.3151	0.295
		25	15.1849	0.301			25	25.3151	0.298
		30	15.1849	0.307			30	25.3151	0.307
	110	5	9.2791	0.275		110	5	22.5318	0.281
		10	9.7604	0.278			10	21.9684	0.284
		15	9.7650	0.281			15	21.7105	0.297
		20	9.7651	0.292			20	21.7064	0.301
		25	9.7651	0.294			25	21.7064	0.305
		30	9.7651	0.301			30	21.7064	0.310