A Shannon Wavelet Method for Pricing American Options under Two-Factor Stochastic Volatilities and Stochastic Interest Rate

Table 2

Comparisons of the CPU time and accuracy for of SWIFT and LS methods.

K	T	SWIFT	LSM (s)	Abs relative error (%)
8		0.4143		0.07
8		1.0533		0.10
8		1.6220		0.02
10		1.2711		0.11
10		2.0856		0.06
10		2.7570		0.11
12		2.6051		0.08
12		3.4101		0.13
12		4.1064		0.05
CPU time	—	0.1936 s	2011.6351	—