Theory and Modern Applications
Table 6 Order of convergence of the CCD method for American put options under the Merton model with \(\lambda =0.1\)
From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models
(M,N) | (32,10) | (64,80) | (128,640) | (256,5120) |
|---|---|---|---|---|
\(E=L_{\infty }\) | 4.0571e−02 | 1.8523e − 03 | 5.7864e − 05 | 1.1350e − 6 |
\(R=\frac{E(M, N)}{E(2M, 8N)}\) | – | 21.9030 | 32.0113 | 50.9815 |
Order = log2R | – | 4.4531 | 5.001 | 5.6719 |