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 price | FFT | Monte Carlo | %difference |
| 90.2830 | 6.0740 | 6.0725 | 0.0246 | 92.1938 | 5.4487 | 5.448 | 0.0136 | 94.1451 | 4.8635 | 4.8624 | 0.0218 | 96.1377 | 4.3188 | 4.3212 | −0.0544 | 98.1724 | 3.8143 | 3.8137 | 0.0161 | 100.2502 | 3.3498 | 3.3505 | −0.0223 | 102.3720 | 2.9244 | 2.9242 | 0.0066 | 104.5387 | 2.5371 | 2.538 | −0.035 | 106.7512 | 2.1867 | 2.1859 | 0.035 | 107.8750 | 2.0249 | 2.0235 | 0.0693 | 110.1581 | 1.7269 | 1.7255 | 0.0824 |
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