Table 5 Comparison of results using PDEs and Monte-Carlo methods for the two default case
| Â | PDE(ADI) | PDE(ADI) | Monte Carlo 99.9% confidence interval |
|---|---|---|---|
| Â | time steps 600 | time steps 2000 | time steps 2000 |
Price | $ 2,264.26 | $ 2,263.50 | $ [2202.96, 2264.08] |
Time (seconds) | 4.07 | 14.68 | 660 |