A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk

Table 2

The effects of volatility of volatility, exercise price 𝐾, maturity time 𝑇, and correlation 𝜌 on option values.

Strike price	𝜌=−0.8		𝜌=0		𝜌=0.8
	𝜎𝑣=0.15	𝜎𝑣=0.25	𝜎𝑣=0.15	𝜎𝑣=0.25	𝜎𝑣=0.15	𝜎𝑣=0.25
𝑇=3 months
90	11.5004	11.5122	11.4827	11.4829	11.4647	11.4527
95	7.5901	7.6000	7.5745	7.5741	7.5585	7.5472
100	4.4325	4.4323	4.4315	4.4307	4.4303	4.4287
105	2.5442	2.5347	2.5573	2.5567	2.5567	2.5780
110	1.1258	1.1109	1.1476	1.1476	1.1690	1.1830
115	0.5169	0.5043	0.5361	0.5364	0.5532	0.5681
𝑇=2 years
90	22.5229	22.5682	22.4438	22.4398	22.3592	22.2959
95	19.4525	19.4825	19.3935	19.3872	19.3293	19.2776
100	16.6650	16.6750	16.6337	16.6255	16.5979	16.5633
105	14.3313	14.3225	14.3271	14.3179	14.3189	14.3018
110	11.9850	11.9507	12.0183	12.0083	12.0476	12.0549
115	10.1354	10.0809	10.1994	10.1896	10.2594	10.2871