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It may be believed that the precision level of such an approximation scheme that uses only a finite number of increments \\(W(t_{k+1}) -W(t_k)\\) of Brownian motion, would not exceed the order \\(O(1/n)\\) where \\(n\\) is the number of steps for discretization. A very interesting result is presented in this note, a simple but not trivial example showing that this belief is not correct. The main result is the next: \\(E |I(g,T) - I_n(g,T)| < \\sqrt{\\pi}eM \\cdot (8T)^{\\frac{n+1}{2}} 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