A Shannon Wavelet Method for Pricing Forward Starting Options under the Double Exponential Jump Framework with Two-Factor Stochastic Volatilities

Table 2

Prices of forward starting options.

K	Swift	Cos	Monte Carlo
0.8	0.481122	0.481134	0.475353
0.85	0.462878	0.462898	0.455658
0.9	0.44562	0.445649	0.450700
0.95	0.429277	0.429316	0.424487
1	0.413784	0.413833	0.403735
1.05	0.399082	0.399143	0.386637
1.1	0.385117	0.385191	0.396895
1.15	0.371838	0.371927	0.365690
1.2	0.359201	0.359306	0.356996
Average CPU time (s)	0.139041	0.060573	105.449163