Research Article
Numerical Method for American Option Pricing under the Time-Fractional Black–Scholes Model
Table 1
The comparison between different methods of American option prices.
| | Methods | Grid (N, M) | | | | |
| | OS (HOC-GS) | | 0.4 | 20.0000 | 10.0000 | 1.6720 | | 0.6 | 20.0000 | 10.0000 | 1.7198 |
| | PLU | | 0.4 | 20.0000 | 10.0000 | 1.6713 | | 0.6 | 20.0000 | 10.0000 | 1.7217 |
| | OS | | 0.4 | 20.0000 | 10.0000 | 1.6747 | | 0.6 | 20.0000 | 10.0000 | 1.7232 |
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