An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options

Table 4

Comparisons of our numerical solutions with the analytical solutions.

𝑀=𝐾	𝑁	Error	Rate
64	32	8.9402𝑒−2	—
256	64	2.5838𝑒−2	1.791
1024	128	6.8437𝑒−3	1.917
4048	256	1.7573𝑒−3	1.961