Research Article
A Simple Numerical Method for Pricing an American Put Option
Table 3
Comparison of RMSE and runtime.
| | Mesh size () | Front fixing (runtime, RMSE) | MBM-FDM (runtime, RMSE) | Our Method (runtime, RMSE) |
| | 125 × 25 | (6.690, 3.10070) | (0.415, 0.04640) | (0.023, 0.10901) | | 250 × 50 | (26.767, 2.76880) | (1.922, 0.02510) | (0.109, 0.01395) | | 500 × 100 | (175.508, 3.61630) | (9.953, 0.01210) | (0.741, 0.00392) | | 1000 × 200 | (1223.615, 2.49460) | (57.531, 0.00620) | (5.997, 0.00089) | | 2000 × 400 | (7998.379, 2.41980) | (345.759, 0.00290) | (56.444, 0.00021) |
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