Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes

Table 1

Errors and convergence rates.

(a)

ℎ	𝑌=0.5			𝑌=1.5
	Absolute error	Relative error	𝛼	Absolute error	Relative error	𝛼
0.8	4.38×10^−4	2.2×10^−5	—	7.35×10^−5	1.48×10^−6	—
0.4	1.16×10^−4	5.85×10^−6	1.92	1.9×10^−5	3.92×10^−7	1.952
0.2	2.95×10^−5	1.49×10^−6	1.98	4.79×10^−6	9.62×10^−8	1.988

(b)

ℎ	𝑌=1.98
	Absolute error	Relative error	𝛼
0.8	3.87×10^−5	3.87×10^−7	—
0.4	9.76×10^−6	9.76×10^−8	1.9873
0.2	2.46×10^−6	2.46×10^−8	1.9882