Figure 3
From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models
American call option prices versus asset prices. Price of option at various states of economy as a function of stock price and time for American call options under the Merton jump-diffusion model. (up) First state of economy (\(\lambda = 0.3\)). (center) Second state of economy (\(\lambda = 0.5\)). (down) Third state of economy (\(\lambda = 0.7\)) with \(M=50\), \(N=10\), and \(S =70\)