Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations

Table 1

Comparison of absolute error between the numerical and exact solutions at and with respect to and .

	8.638266	5.403661	3.560908	2.618485	2.155975	1.929931
1/3	6.541975	3.457916	1.959400	1.288850	0.979618	0.831513
	6.276309	3.262838	1.829017	1.187406	0.889680	0.746603
	6.246320	3.241839	1.815166	1.176523	0.879980	0.737425
	6.242982	3.239515	1.813635	1.175318	0.878906	0.736408