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

Table 2

Numerical results for Test 2.

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	1.0716𝑒−1	—	1.7428𝑒−1	—
32	128	2.4716𝑒−2	2.116	8.9504𝑒−2	0.961
64	256	1.5810𝑒−2	0.645	4.7780𝑒−2	0.906