Theory and Modern Applications
From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models
K | S | CN | CCD | Exact | \(L_{\infty }\) (CN) | \(L_{\infty }\) (CCD) |
---|---|---|---|---|---|---|
100 | 90 | 0.54524 | 0.52751 | 0.52764 | 1.7602e−02 | 1.2718e−04 |
130 | 32.28254 | 32.28218 | 32.28218 | 3.6643e−04 | 4.5527e−06 | |
170 | 71.96107 | 71.96065 | 71.96065 | 4.1983e−04 | 2.3599e−06 |