An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing

Table 3

CPU time in sec (first row) and absolute difference (second row) for different methods depending on number of time steps for fixed number of space steps for parameters (89).

	NIM	MOL	Monte Carlo	FDM
50	296.598	59.20	47 970	26.547
	0.003	0.001	0.1735	0.0036
32	127.069	55.12	19 811	17.911
	0.0035	0.006	0.1148	0.0122
16	33.493	51.718	5 149	9.432
	0.0012	0.0236	0.132	0.0371
8	10.360	49.01	1 350	4.787
	0.0105	0.074	0.1316	0.0907
4	4.117	45.47	355.75	2.815
	0.0364	0.2512	0.1351	0.2254