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 |