Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing

Table 1

Convergence in space for fixed time step 𝑘=2⋅10⁻³ for the problem with parameters (56).

Asset price	True value	0.04	0.02	0.01
90	11.6974	11.7283	11.7054	11.6991
100	6.9320	6.9308	6.9309	6.9312
110	4.1550	4.1694	4.1564	4.1531
120	2.5102	2.5219	2.5151	2.5114
	RMSE	1.8037-2	4.7857-3	1.4623-3
	CPU-time (sec)	0.052	0.075	0.105