Removing the Correlation Term in Option Pricing Heston Model: Numerical Analysis and Computing

Table 1

Errors and convergence rates.

	𝑘=0.015		𝑘=0.0075
ℎ	0.1	0.05	0.1	0.05
|𝑈−𝑢|	0.06056	0.01594	0.03079	0.00797
Convergence rate	1.93		1.95
Relative error	2.3×10^−3	1.7907×10^−4	1.2×10^−3	8.9537×10^−5