Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Table 2

Option prices using FFT and MC methods.

Strike price
	FFT	MC	% difference	FFT	MC	% difference
80	24.4535	24.4436	0.041	29.3599	29.3706	−0.037
85	21.0528	21.0493	0.017	26.5915	26.5940	−0.008
90	18.0228	17.9840	0.216	24.0435	24.0488	−0.021
95	15.2760	15.2562	0.131	21.7258	21.7259	0.000
100	12.8038	12.8628	−0.459	19.6043	19.6138	−0.046
105	10.8479	10.7902	0.538	17.7122	17.6996	0.073
110	9.0230	9.0164	0.078	15.9710	15.9695	0.013
115	7.4396	7.5140	−0.985	14.4212	14.4094	0.082
120	6.2756	6.2526	0.368	13.0154	13.0053	0.077
CPU time (s)	0.086	906.25		0.080	889.76