S0

Numerical

algorithm

n = 200

Numerical

algorithm

n = 1000

Numerical

algorithm

n = 2000

Monte Carlo

Simulation

Times = 106

80.1

0.255603

(0.01708)

0.269405

(0.00328)

0.271218

(0.00146)

0.275555

(0.00224)

81

0.461714

(0.01941)

0.477431

(0.00369)

0.479476

(0.00165)

0.484087

(0.00296)

100

5.042788

(0.01736)

5.028913

(0.00349)

5.026992

(0.00156)

5.020779

(0.00857)

139

0.951235

(0.06628)

1.005237

(0.01228)

1.012056

(0.00546)

1.022783

(0.00458)

139.9

0.660173

(0.05794)

0.707246

(0.01087)

0.713274

(0.00484)

0.716428

(0.00386)

CPU

376 ms

1891 ms

6496 ms

7378 s