Theory and Modern Applications
Table 2 Error analysis of classical C-N scheme
From: A new kind of parallel finite difference method for the quanto option pricing model
Grid | CPU time | RMSE | RRMSE |
|---|---|---|---|
20 × 20 | 0.836s | 0.1450 | 2.900 |
30 × 30 | 7.259s | 0.0999 | 2.997 |
40 × 40 | 38.07s | 0.0762 | 3.048 |
50 × 50 | 158.15s | 0.0616 | 3.080 |