Theory and Modern Applications
Table 3 Error analysis of the ABdC-N scheme
From: A new kind of parallel finite difference method for the quanto option pricing model
Grid | CPU time | RMSE | RRMSE |
|---|---|---|---|
20 × 20 | 1.410s | 0.0795 | 1.590 |
30 × 30 | 2.095s | 0.0547 | 1.641 |
40 × 40 | 5.649s | 0.0417 | 1.668 |
50 × 50 | 18.307s | 0.0336 | 1.680 |