Option Pricing under Double Stochastic Volatility Model with Stochastic Interest Rates and Double Exponential Jumps with Stochastic Intensity

Table 2

Comparisons of European call option prices by applying the COS method and FFT.

Strike	Semi-closed form price	COS price	FFT price
80	29.1910	29.1910	29.2104
85	26.1354	26.1354	26.1695
90	23.3359	23.3359	23.3876
95	20.7865	20.7865	20.8192
100	18.4776	18.4776	18.566
105	16.3968	16.3968	16.4227
110	14.5297	14.5297	14.6222
115	12.8608	12.8608	12.9601
120	11.3742	11.3742	11.3798
Computation time (s)	1575.7674	0.0248	0.0175