h
coefficient
h
0
.
8
time
discretization
n
4
time
to
expiry
(
years
)
T
3
starting
asset
price
S
0
45
strike
price
X
40
risk
-
free
rate
r
0
dividend
yield
δ
0
.
07
volatility
σ
0
.
3
0
.
0
0
.
5
1
.
0
1
.
5
2
.
0
2
.
5
3
.
0
40
45
50
55
60
time
critical
asset
price
American
call
approximation
trapezoidal
rule
:
8
.
00168
Simpson
'
s
rule
:
8
.
00151
