An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Number of sampling</td><td class="align_center">B&amp;S</td><td class="align_center">Jump-diffusion</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">100 to 1000 by 10 steps</td><td class="align_center">24.542 s</td><td class="align_center">40.544 s</td></tr><tr><td class="align_left">100 to 5000 by 10 steps</td><td class="align_center">597.303 s</td><td class="align_center">1163.004 s</td></tr><tr><td class="align_left">100 to 10000 by 10 steps</td><td class="align_center">16305.825 s</td><td class="align_center">57092.476 s</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Time consumption (MATLAB R2019a program).</div>

Journal of Applied Mathematics

tab2

Table 2

Table 2: An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing 