Theory and Modern Applications
Table 1 A comparison between the approximate solution and the exact solution corresponding to the European call options under the Merton model with \(\lambda =0\)
From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models
S | Approximate solution | Exact solution | \(L_{\infty }\) error |
|---|---|---|---|
90 | 0.36577 | 0.36646 | 6.9931e−04 |
100 | 3.63286 | 3.63507 | 2.2097e−03 |
110 | 11.50600 | 11.50588 | 1.2608e−04 |