Volatility parameter

Hitting Time Error using Brownian Bridge Technique

Standard Error using Brownian Bridge Technique

Hitting Time Error using Exponential Timestepping algorithm

Standard Error using Exponential Timestepping algorithm

0.20

0.0031

0.0026

0.0046

0.0026

0.30

0.0040

0.0039

0.0056

0.0039

0.40

0.0098

0.0050

0.0051

0.0050

0.50

0.0126

0.0060

0.0021

0.0060

0.60

0.0173

0.0068

0.0043

0.0068