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

Table 2

Comparison of the approximated approach and MC for options.

		Approximated approach	CPU(sec.)	Monte Carlo	CPU(sec.)	RE(%)
0.5	90	17.7849	0.284	17.7892	110.302	-0.0242
	95	13.5305	0.291	13.5246	110.384	0.0436
	100	9.8623	0.278	9.8602	110.403	0.0213
	105	6.8598	0.296	6.8624	110.329	-0.3810
	110	4.5415	0.287	4.5407	110.376	0.0176
1.5	90	25.2251	0.265	25.2206	110.376	0.0178
	95	22.0851	0.281	22.0891	110.391	-0.0181
	100	19.1755	0.294	19.1787	110.417	-0.0167
	105	16.5109	0.312	16.5045	110.485	0.3888
	110	14.1002	0.293	14.1039	110.392	-0.0262
3	90	29.2835	0.271	29.2894	110.428	-0.0201
	95	27.2560	0.289	27.2513	110.397	0.0173
	100	25.3151	0.307	25.3106	110.405	0.0178
	105	23.4644	0.295	23.4595	110.471	0.0209
	110	21.7065	0.292	21.7128	110.396	-0.0290