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The dynamics of assets are given by the stochastic differential equation \\(dX_{t}= \\mu(X_{t})X_{t} dt +\\sigma(X_{t})X_{t} dB_{t}\\) with \\(X_0=x_0>0\\) and ordinary differential equation \\(dS_{t}=rS_{t}dt\\). The European vanilla option with the payoff function \\(f\\) and maturity \\(T\\) is considered. The price of this option is given by \\({\\mathbf E}(\\exp(-rT)f(X_{T})\\mid F_0)\\). Let us set \\(u(t,x)={\\mathbf E}_{x}(\\exp(-r(T-t))f(X_{T-t}))\\) and let us assume that the investor will trade at \\(n\\) fixed times in the period \\([0,T]\\). At each trading time \\(t_{k}=kT/n, k=0,\\ldots,n\\) the trader holds \\({\\partial u\\over\\partial x}(t_{k},X_{t_{k}})\\) units of the asset \\(X_{t}\\). At maturity the investor will be left with the difference \\(\\Delta_{n}(f)=\\int_{0}^{T}{\\partial u\\over\\partial x}(t,X_{t}) d\\widetilde X_{t}-\\int_{0}^{T}{\\partial u\\over\\partial x}(\\phi(t),X_{\\phi(t)}) d\\widetilde X_{t}\\), where \\(\\phi(t)=\\sup\\{t_{i}\\mid t_{i}\\leq t\\}\\), \\(\\widetilde X_{t}=e^{-rT}X_{t}\\). It is known that \\(\\Delta_{n}(f)\\) converges in probability to \\(0\\) as \\(n\\to+\\infty\\). The authors prove that the rate of convergence strongly depends on the regularity properties of 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