Pricing Extendible Options Using the Fast Fourier Transform

Table 3

Prices and relative error (in percent) for pricing an extendible call option: exact solution, Euler scheme, and Milstein scheme.

Underlying asset, 𝑆	Exact solution	Euler price	𝜖	Milstein Price	𝜖
80	1.4264	1.4294	0.2071	1.8025	26.3641
90	4.3154	4.3282	0.2982	4.6685	8.1827
100	9.4228	9.3505	0.7679	9.4874	0.6851
110	16.5358	16.5445	0.0524	16.3863	0.9040
120	25.0506	25.0283	0.0888	24.8268	0.8933