Research Article

Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing

Table 4

Comparison with other methods: put option value for different asset prices.

Asset price True value PM OS HW WK FF( ) FF( )

80 20.2797 20.2793 20.2795 20.2803 20.2825 20.2795 20.2793
90 13.3075 13.3071 13.3074 13.3075 13.3117 13.3075 13.3074
100 8.7106 8.7100 8.7104 8.7103 8.7135 8.7106 8.7104
110 5.6825 5.6820 5.6824 5.6823 5.6867 5.6825 5.6823
120 3.6964 3.6960 3.6963 3.6965 3.7001 3.6963 3.6963
RMSE ā€‰ 4.6690-4 8.9442-6 3.1623-4 3.6116-3 1.0229-4 2.2966-4
CPU-time ā€‰ 25.67 11.91 4.72 4.23 25.99 4.617