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

Table 7

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

	FDM				NCIM
	T/250	T/500	T/1000	T/2000	L=10
	value				value	RE (%)
4	2.46906	2.46997	2.47044	2.47068	2.45192	0.75931
5	2.15034	2.15138	2.15189	2.15216	2.13482	0.80570
6	1.87964	1.88074	1.88129	1.88158	1.86568	0.84503
CPU times (s)	551	716	1045	1729	95	–