K

ρ

Fast Hilbert transform

approach

Heston model

Relative percentage error

90

−0.5

17.6905

17.6927

−1.24E−02

90

0

17.5517

17.5551

−1.94E−02

90

0.5

17.4910

17.4882

1.60E02

100

−0.5

12.3996

12.4099

−7.82E−02

100

0

12.2804

12.2909

−8.54E−02

100

0.5

12.2647

12.2692

−3.67E−02

110

−0.5

8.4147

8.4313

−1.97E−01

110

0

8.3503

8.3634

1.57E01

110

0.5

8.3716

8.3774

−6.92E−02