Accurate Numerical Method for Pricing Two-Asset American Put Options

Table 1

Numerical results for Test 1.

K	N	Error	Rate
128	6	1.8124𝑒−1	—
	12	5.1852𝑒−2	1.805
	24	1.4761𝑒−2	1.813
	48	4.1312𝑒−3	1.837