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

Table 4

Relative differences of the call option prices computed by applying the COS method and FFT.

K	n	6	7	8	9	10
80	COS	−0.2799	−4.5E − 10	0	0	0
	FFT	−10.1215	−2.2598	0.0266	−0.0248	−0.0194
100	COS	0.5234	9.31E − 10	0	0	0
	FFT	−14.9982	−2.9451	−1.4132	−0.2261	−0.0883
120	COS	−0.1211	−7.4E − 10	0	0	0
	FFT	−17.3327	−1.8550	−1.2308	−0.4624	−0.0055