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As it is impossible to obtain an explicit formula for the expectation $\\mathbb E f(S_T)$ in this case, where $S_T$ is the asset price at maturity time and $f$ is a payoff function, we provide a discretization schemes $\\hat Y^n$ and $\\hat S^n$ for volatility and price processes correspondingly and study convergence $\\mathbb E f(\\hat S^n_T) \\to \\mathbb E f(S_T)$ as the mesh of the partition tends to zero. The rate of convergence is calculated. 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