Theory and Modern Applications
Table 1 Error estimate and convergence rate for the spatial direction with the same parameters as used in Fig. 1(c)
From: A HODIE finite difference scheme for pricing American options
K | N | error | rate |
|---|---|---|---|
4096 | 128 | 4.0555e–3 | – |
256 | 1.0697e–3 | 1.923 | |
512 | 2.8216e–4 | 1.923 | |
1024 | 8.7300e–5 | 1.692 |