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 |
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