3-underlying

Assets Prices (S)

Strike prices

(K)

Volatility

$\left\{{\sigma }^{*},{\sigma }^{rec}\right\}$

Exercising

Time (year)

European call Options Prices (FFT)

European call Options

Prices (BSM)

Output

Metrics

$S_1=100$

80

0.93001, 0.074916

0.5

36.5090918034085

36.36246996

0.1466

$S_2=105$

85

−1.85574, −0.098738

0.5

58.4844133882581

58.84131851

−0.3569

$S_3=110$

90

0.89337, 1.139327

0.5

62.3503964521184

63.03609669

−0.6857

$S_1=100$

80

0.31079, −0.052239

1

23.8042830392887

23.66008671

0.14419

$S_2=105$

85

−1.38470, 1.571944

1

22.5677094491566

22.61602268

−0.0483

$S_3=110$

90

0.71091, −0.912938

1

22.9463648747717

23.18429634

−0.2379