1. The last one (with a wider truncated lattice and much finer uniform spacing; this scheme requires 3458.6 sec of total CPU time, which is 0.0017 sec per point) has relative errors less than 0.0001 for thresholds and option values as the comparison with even finer schemes shows. We also show the total CPU time, and CPU time per point. In Table 5 and Fig.3 and 4, we show the early exercise boundary. The limit of the early exercise boundary at expiry is shown in line 0+;Table 4, we show the parameters of several schemes with the geometric spacing in time
2. Some remarks on first passage of L�vy process, the American put and pasting principles;L Alili;Annals of Applied Probability,2005
3. Russian and American put options under exponential phase-type L�vy models;S Asmussen;Stochastic Processes and its Applications,2004