An Efficient Method for Solving Spread Option Pricing Problem: Numerical Analysis and Computing

Table 1

Comparison proposed method (FDM) with analytical approximation (86).

		FDM	Approximation
100	400	210.5978	209.7261
	200	24.2895	23.4543
	100	0.1150	0.0123
	50
90	400	220.0678	220.1714
	200	29.8745	29.8724
	100	0.1691	0.0372
	50
	CPU time (sec)	106.188	929.467