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Advances in Continuous and Discrete Models

Theory and Modern Applications

Table 2 Error estimate and convergence rate for the time 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

2048

64

2.551e–1

–

128

1.208e–2

1.078

216

5.471e–2

1.143

512

2.5300e–2

1.112

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