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

Table 3

Comparisons of error convergence between the COS method and FFT.

K	n	6	7	8	9	10
80	COS	−0.2799	−1.2E − 09	−7.3E − 10	−7.3E − 10	−7.3E − 10
	FFT	−10.1215	−2.2598	0.0265	−0.0249	−0.0194
100	COS	0.5234	6.91E − 10	−2.4E − 10	−2.4E − 10	−2.4E − 10
	FFT	−14.9982	−2.9451	−1.4132	−0.2262	−0.0883
120	COS	−0.1211	−4.1E − 10	3.31E − 10	3.31E − 10	3.31E − 10
	FFT	−17.3328	−1.8551	−1.2309	−0.4625	−0.0056