  This paper deals with the numerical approximation of American-style option
values governed by partial differential complementarity problems. For a variety
of one- and two-asset American options we investigate by ample numerical
experiments the temporal convergence behaviour of three modern splitting
methods: the explicit payoff approach, the Ikonen-Toivanen approach and the
Peaceman-Rachford method. In addition, the temporal accuracy of these splitting
methods is compared to that of the penalty approach.
