CN Scheme

ADI Scheme

Time t = 1

Grid

Rate

Rate

Rate

Rate

Rate

Rate

1

41 × 41

2.9385

-

-

-

-

-

101 × 101

2.9187

1.6739

1.001

2.1131

1.0843

0.0471

201 × 201

1.231

1.1129

1.0009

1.0938

1.0627

0.0710