Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries

Table 2

Values of American Strangles at time (i.e., ) with , , , , , , different values of , different values of , and different space partition .

	,			,
	Value	Err	Rate	Value	Err	Rate
24	0.150660	3.3277e-003	0.6061	0.262272	2.7302e-003	1.5515
49	0.149394	2.1862e-003	0.5367	0.260271	9.3141e-004	0.9603
99	0.149262	1.5070e-003	0.5154	0.260335	4.7871e-004	1.0611
199	0.149211	1.0543e-003	0.5076	0.260319	2.2943e-004	0.9601
399	0.149187	7.4158e-004	0.5037	0.260274	1.1793e-004	0.9812
799	0.149191	5.2302e-004	0.5018	0.260276	5.9737e-005	0.9920
1599	0.149189	3.6937e-004	—	0.260275	3.0034e-005	—
3199	0.149189	—	—	0.260275	—	—