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European options are priced by solving the resultant partial integro-differential equation, while American options are priced by solving the corresponding linear complementarity problem (LCP). The operator splitting (OS) method is used to solve the American constraints. The present method implicitly treats the differential and non-local integral operators, which results in better accuracy and quadratic convergence rate. To assess the accuracy of the proposed IMEX-AVF method, convergence analysis is theoretically established using the discrete \\(l^2\\)-norm. 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