Numerical Contour Integral Methods for Free-Boundary Partial Differential Equations Arising in American Volatility Options Pricing

Table 5

Comparison results (option values, relative errors and CPU time).

	FDM				NCIM
	T/250	T/500	T/1000	T/2000	L=14
	value				value	RE (%)
0.5	0.50000	0.50000	0.50000	0.50000	0.50000	0.00000
1	0.19484	0.19489	0.19491	0.19493	0.19441	0.26676
1.5	0.10127	0.10132	0.10135	0.10136	0.10113	0.22691
CPU times (s)	315	453	732	1335	186	–