Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate

Table 2

Comparison of the accuracy of our simulation scheme and Euler scheme for pricing European options. The exact price .

Number of simulations	Number of time steps	Our simulation scheme		Euler scheme
		Standard error	Relative error	Standard error	Relative error
1000	100	0.4780	0.0421	0.4681	0.1182
1000	500	0.4559	0.0424	0.4800	0.0472
10000	100	0.1515	0.0166	0.1533	0.0227
10000	500	0.1566	0.0032	0.1561	0.0166
100000	100	0.0480	0.0267	0.0479	0.0523
100000	500	0.0480	0.0257	0.0486	0.0334