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

Table 4

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 put barrier options.

M	K	FC method	MC simulation	Abs R.E. (%)
4		15.3051		0.09
		19.2898		0.29
		23.6405		0.04
	cpu time (sec)
12		14.3355	14.2995	0.25
		17.7990	17.7157	0.47
		21.5291	21.4019	0.59
	cpu time (sec)	1.066	289.999
26		13.8651		0.27
		17.0935		0.52
		20.5499		0.67
	cpu time (sec)	1.099	136.546
52			13.5097	0.21
				0.46
		19.8893	19.7695	0.61
	cpu time (sec)	1.383	155.311
252		13.0696		0.17
		15.9276		0.40
		18.9614		0.52
	cpu time (sec)	1.170	113.495