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

Table 2

RMSE by adaptive time stepping strategy with respect to different tolerance.

Tolerance				RMSE	Ratio
			46	0.321825625	6.89882
			213	0.067703445	32.79326
			480	0.060855408	36.48347
			2150	0.056760465	39.11554
			4801	0.052404827	42.36664
			14214	0.054571982	40.68418
			39776	0.055265093	40.17394