Theory and Modern Applications
Table 3 Global error estimate and convergence rate with the same parameters as used in Fig. 1(c)
From: A HODIE finite difference scheme for pricing American options
n | error | rate |
|---|---|---|
1 | 4.24e–2 | – |
2 | 1.33e–2 | 1.67 |
4 | 4.20e–3 | 1.66 |