A Finite Difference Scheme for Pricing American Put Options under Kou's Jump-Diffusion Model

Table 1

Numerical results for Test 1.

𝑁	𝐾	error	rate
64	16	2.8859𝑒−2	—
128	64	8.3456𝑒−3	1.780
256	256	2.1187𝑒−3	1.978
512	1024	5.5979𝑒−4	1.920