A Finite Difference Scheme for Pricing American Put Options under Kou's Jump-Diffusion Model

Table 2

Numerical results for Test 2.

𝑁	𝐾	error	rate
64	16	4.8818𝑒−2	—
128	64	1.3125𝑒−2	1.895
256	256	3.3288𝑒−3	1.979
512	1024	7.2756𝑒−4	2.194