Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations

Table 1

RMSE for European call option with varying and with five different BCs.

0.2	0.1	0.05	0.025
Dirichlet I
2.0
1.0
0.5
Dirichlet II
2.0
1.0
0.5
Neumann
2.0
1.0
0.5
Linear
2.0
1.0
0.5
PDE
2.0
1.0
0.5