Pricing Extendible Options Using the Fast Fourier Transform

Table 4

Prices and relative error (in percent) for pricing an extendible call option: exact solution and FFT.

Underlying asset, 𝑆	Exact solution	FFT price	𝜖
80	1.4264	1.4247	0.1193
90	4.3154	4.2908	0.5733
100	9.4228	9.5106	0.9232
110	16.5358	16.4352	0.6121
120	25.0506	25.1067	0.2234