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On the other side one of the natural numerical methods to compute the function \\(P\\) defined by (1) is to approximate the underlying Brownian motion \\(B\\) by normed random walk \\(B_t^{(n)}= \\sqrt{T/n}\\sum^{[nt/T]}_{k=1}\\varepsilon_k\\) and to use the function  \\[ P^{(n)}(t,x)= \\sup_{\\tau\\in F^{(n)}_{0,T-t}} Ee^{-r\\tau} \\psi(x+ \\mu\\tau+ \\sigma B_\\tau^{(n)}) \\]  with corresponding set of stopping times \\(F^{(n)}_{0,T-t}\\), \\(((\\varepsilon_k)_{k\\geq 1})\\) is a sequence of i.i.d. r.v. satisfying \\(P( \\varepsilon_k=1) =P(\\varepsilon_k=0) =1/2\\). The main result of this paper is the following statement: For any real number \\(x\\), there exists positive constants \\(c\\) and \\(C\\) such that  \\[ \\forall n\\in N :-{c\\over n^{2/3}}\\leq P^{(n)} (0,x)-P(0,x) \\leq{C\\over n^{3/4}}; \\]  moreover, if \\(\\mu\\leq 0\\) (i.e., \\(r\\leq \\sigma^2/2)\\),  \\[ \\forall x\\in R,\\;\\exists \\widetilde C>0,\\;\\forall n\\in N : P^{(n)}(0,x)- P(0,x)\\leq\\widetilde C(\\sqrt{\\ln n}/n)^{4/5}. 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