Numerical Methods for Pricing American Options with Time-Fractional PDE Models

Table 1

Prices of American put option at .

, , , , ,
LTM	FDM	LTM	FDM
1.0	1.2189	1.2362	3.4116	3.4792
0.9	1.1771	1.1912	3.2651	3.3157
0.7	1.0959	1.1028	2.9817	3.0071
0.4	0.9778	0.9793	2.5770	2.5829
0.2	0.9005	0.9002	2.3184	2.3191
CPU time (s)	1.65	234.68	1.73	241.34
, , , , ,
LTM	FDM	LTM	FDM
1.0	1.1877	1.2020	3.3325	3.3834
0.9	1.1485	1.1604	3.1918	3.2297
0.7	1.0722	1.0802	2.9208	2.9400
0.4	0.9609	0.9657	2.5347	2.5397
0.2	0.8877	0.8922	2.2876	2.2898
CPU time (s)	1.53	239.21	1.98	247.22