Numerical Method for American Option Pricing under the Time-Fractional Black–Scholes Model

Table 3

Numerical convergence order for European put options in time and space for .

N (M = 50)	Order	M (N = 50)	Order
100	1.3179	100	3.9578
200	1.0460	200	3.8265
400	1.0451	400	3.7365
800	1.0396	800	3.7661