Table 1: Maximum error behavior versus grid size reduction for Example 5.1 at 𝑇 = 1 . 0 .

= 𝜏 Maximum error

1 / 1 0 4.8148E-2
1 / 2 0 1.0111E-2
1 / 4 0 2.0587E-3
1 / 8 0 7.3019E-4