An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options

Table 1

Comparison of the results at mesh point (𝐸,𝐾𝑇/2,0) for different values of 𝑋 for fixed parameters: 𝜎=0.2,𝑟=0.08,𝑇=1,𝐸=2,𝑁=1024, and 𝑀=𝐾=256.

𝑋	𝑋=4𝐸	𝑋=5𝐸	𝑋=6𝐸	𝑋=7𝐸	𝑋=8𝐸
Price	0.9988279010	0.9988279011	0.9988279013	0.9988279017	0.9988279017