Table 4 Comparison of results obtained using PDE and Monte-Carlo methods for one default case (maturity=5, K=0.00909, 1 million simulation paths)
| Â | PDE(ADI) | PDE(ADI) | Monte Carlo |
|---|---|---|---|
| Â | time steps 600 | time steps 2000 | 99.9% confidence interval |
Price | $ 2,236.22 | $ 2,235.02 | $ [2173.94, 2235.24] |
Time (seconds) | 1.19 | 3.62 | 648 |