S0

Numerical

algorithm

n = 200

Numerical

algorithm

n = 1000

Numerical

algorithm

n = 2000

Monte Carlo

Simulation

Times = 106

80.1

0.109371

(0.01748)

0.123303

(0.00355)

0.125255

(0.00160)

0.124955

(0.00146)

81

0.329240

(0.01826)

0.343901

(0.00360)

0.345886

(0.00161)

0.346085

(0.00240)

100

5.349461

(0.04085)

5.315899

(0.00730)

5.311831

(0.00323)

5.296170

(0.00847)

139

1.613736

(0.17757)

1.758731

(0.03257)

1.776845

(0.01447)

1.789104

(0.00615)

139.9

0.777533

(0.16118)

0.907367

(0.03135)

0.924693

(0.01402)

0.948932

(0.00457)

CPU

9942 ms

49 s

102 s

7414 s