Research Article
An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing
Table 1
Comparison proposed method (FDM) with analytical approximation (
86).
| | | FDM | Approximation |
| 100 | 400 | 210.5978 | 209.7261 | 200 | 24.2895 | 23.4543 | 100 | 0.1150 | 0.0123 | 50 | | |
| 90 | 400 | 220.0678 | 220.1714 | 200 | 29.8745 | 29.8724 | 100 | 0.1691 | 0.0372 | 50 | | |
| ā | CPU time (sec) | 106.188 | 929.467 |
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