Theory and Modern Applications
From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models
(h,k) | \(E=L_{\infty }\) error |
---|---|
(0.15,0.1) | 8.5571e − 05 |
(0.075,0.025) | 3.0810e − 06 |
(0.0375,0.0063) | 2.4753e − 07 |
(0.0187,0.0016) | 9.1614e − 09 |