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Advances in Continuous and Discrete Models

Theory and Modern Applications

Table 5 Values of American put options obtained by the CCD method under the Merton model. The reference values are 10.003822 at \(S = 90\), 3.241251 at \(S = 100\), and 1.419803 at \(S = 110\) [16]. The truncated domain is \([-1.5, 1.5]\) and \(\lambda =0.1\), \(M=128\), and \(N=25 \)

From: A combined compact difference scheme for option pricing in the exponential jump-diffusion models

S

Method [17]

CCD method

European put

\(L_{\infty }\) ([17])

\(L_{\infty }(CCD)\)

90

10.000196

10.0038730

9.28542

3.6e−03

5.1e−05

100

3.231112

3.241153

3.14903

1.1e−02

9.8e−05

110

1.417464

1.419681

1.40119

2.3e−03

1.2e−04

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