Research Article

Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity

Table 1

Power option prices in case: FFT versus Monte Carlo.

Strike priceFFTMonte Carlo%difference

90.28306.07406.07250.0246
92.19385.44875.4480.0136
94.14514.86354.86240.0218
96.13774.31884.3212−0.0544
98.17243.81433.81370.0161
100.25023.34983.3505−0.0223
102.37202.92442.92420.0066
104.53872.53712.538−0.035
106.75122.18672.18590.035
107.87502.02492.02350.0693
110.15811.72691.72550.0824