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

Table 8

Comparison with adaptive and uniform time step methods.

	tol	RMSE		CPU time
Adaptive		0.32183	46	0.02790
Uniform		0.33442	9	0.00415
Adaptive		0.06770	213	0.11714
Uniform		0.06774	207	0.02237
Adaptive		0.06086	480	0.15395
Uniform		0.06086	476	0.04640
Adaptive		0.05676	2150	1.04035
Uniform		0.05676	2144	0.20096
Adaptive		0.05240	4801	1.41838
Uniform		0.05559	10000000	902.92370
Adaptive		0.05457	14214	4.24171
Uniform		0.05559	10000000	902.92370
Adaptive		0.05527	39776	12.89830
Uniform		0.05559	10000000	902.92370