Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes

Table 2

Errors due to the variation of 𝜀.

(a)

𝜀	𝑌=0.5		𝑌=1.5
	Absolute error	Relative error	Absolute error	Relative error
0.8	3.91×10^−3	1.97×10^−4	6.37×10^−4	1.28×10^−5
0.4	7.18×10^−4	3.62×10^−5	8.54×10^−5	1.72×10^−6
0.2	9.32×10^−6	4.7×10^−7	7.16×10^−6	1.44×10^−7

(b)

𝜀	𝑌=1.98
	Absolute error	Relative error
0.8	4.19×10^−4	4.19×10^−6
0.4	5.76×10^−5	5.76×10^−7
0.2	5.92×10^−6	5.92×10^−8