Research Article
Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity
Table 3
Power option prices in
case: FFT versus Monte Carlo.
| | Strike price | FFT | Monte Carlo | %difference |
| | 90.2830 | 15.9551 | 15.9556 | −0.0031 | | 92.1938 | 14.8717 | 14.8715 | 0.0012 | | 94.1451 | 13.81993 | 13.8197 | 0.0014 | | 96.1377 | 12.8024 | 12.8038 | −0.0111 | | 98.1724 | 11.8216 | 11.8219 | −0.0025 | | 100.2502 | 10.8797 | 10.8799 | −0.0018 | | 102.3720 | 9.9786 | 9.9802 | −0.0159 | | 104.5387 | 9.1201 | 9.1193 | 0.0088 | | 106.7512 | 8.3053 | 8.306 | −0.0084 | | 107.8750 | 7.9147 | 7.9155 | −0.0105 | | 110.1581 | 7.1675 | 7.1673 | 0.0034 |
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