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Theory and Modern Applications

Table 1 Comparison of analytical and numerical solution

From: A new kind of parallel finite difference method for the quanto option pricing model

Scheme

12 months

Relative error

CPU time

Analytical solution

53.521809

-

-

Classical C-N scheme

51.331487

4.09%

158.157s

ABdC-N scheme

52.284465

2.49%

18.037s