Theory and Modern Applications
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 |