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

37.0739574519076

36.92704398

0.1469

$S_2=105$

85

−1.85574, −0.098738

0.5

59.1066925306292

59.47219301

−0.3655

$S_3=110$

90

0.93001, 0.074916

0.5

55.6155902567383

55.89405735

−0.2784

$S_1=100$

80

0.31079, −0.052239

1

25.0974529765726

24.95267554

0.1448

$S_2=105$

85

−1.38470, 1.571944

1

24.0013372611456

24.05195616

−0.0506

$S_3=110$

90

0.71091, −0.912938

1

24.4073616767388

24.65044343

−0.2431