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

Table 6

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

	FDM				NCIM
	T/250	T/500	T/1000	T/2000	L=6
	value				value	RE (%)
0.5	0.69600	0.69624	0.69636	0.69642	0.69152	0.70217
1	0.58613	0.58649	0.58668	0.58677	0.58206	0.80270
1.5	0.52618	0.52663	0.52685	0.52696	0.52280	0.78755
CPU times (s)	613	785	1141	1808	87	–