A Fourier-Cosine Method for Pricing Discretely Monitored Barrier Options under Stochastic Volatility and Double Exponential Jump

Table 3

Comparisons of the CPU time and accuracy for Fourier-cosine method(FC method) and the Monte Carlo simulation (MC Simulation) for pricing discrete up-and-out call barrier options.

M	K	FC method	MC simulation	Abs R.E.
4		3.6231		1.23
		2.8640		1.53
		2.4709		1.49
	cpu time (sec)
12		3.5703	3.6003	0.83
		3.0630	3.0909	0.90
		2.8221	2.8489	0.94
	cpu time (sec)	1.2721	144.136
26		3.5709		1.16
		3.1584		0.93
		2.9740		0.75
	cpu time (sec)	1.429	136.546
52			3.6216	1.10
				0.83
		3.0713	3.0892	0.58
	cpu time (sec)	1.492	197.555
252		3.6075		0.82
		3.3168		0.52
		3.2021		0.27
	cpu time(sec)	1.013	324.363