Table 5 Values of American put options obtained by the CCD method under the Merton model. The reference values are 10.003822 at \(S = 90\), 3.241251 at \(S = 100\), and 1.419803 at \(S = 110\) [16]. The truncated domain is \([-1.5, 1.5]\) and \(\lambda =0.1\), \(M=128\), and \(N=25 \)