Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation

Table 1

Numerical results for Test 1.

M	N	Exponential method		Implicit Euler method
		Error 𝑒^𝑁,𝑀	Rate 𝑟^𝑁,𝑀	Error 𝑒^𝑁,𝑀	Rate 𝑟^𝑁,𝑀
16	64	1.2535𝑒−1	—	1.7817𝑒−1	—
32	128	2.9268𝑒−2	2.099	8.9567𝑒−2	0.992
64	256	1.5725𝑒−2	0.896	4.6822𝑒−2	0.936