Theory and Modern Applications
Table 3 Order of convergence for the European put options under the Merton model by the CCD method with \(\lambda =0.1\) and \(S=30\)
From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models
(M,N) | (128,25) | (256,200) | (512,1600) | (1024,12800) |
|---|---|---|---|---|
\(E=L_{\infty }\) error | 1.1753e-04 | 3.4297e − 06 | 5.9131e − 08 | 9.2704e − 10 |
\(R=\frac{E(M, N)}{E(2M, 8N)}\) | – | 34.2681 | 58.0014 | 63.7844 |
Order = log2R | – | 5.0988 | 5.8580 | 5.9941 |