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

Table 2

Convergence in time for fixed space step ℎ=0.01 for the problem with parameters (56).

Asset price	True value	0.0005	0.001	0.002
90	11.6974	11.6984	11.6989	11.6991
100	6.9320	6.9319	6.9318	6.9312
110	4.1550	4.1555	4.1544	4.1531
120	2.5102	2.5103	2.5091	2.5114
	RMSE	5.6347-4	9.8234-4	1.4623-3
	CPU-time (sec)	0.142	0.113	0.105