Research Article
Fractional Order Stochastic Differential Equation with Application in European Option Pricing
Table 3
Simulation results of FSDE.
| | Simulation times | Real value | Mean value | Standard deviation | Error rate | Confidence interval |
| | 100 | 2445 | 2362.7 | 19.0566 | 3.37% | [2359.1, 2366.5] | | 1000 | 2445 | 2368.4 | 21.1279 | 3.13% | [2367.2, 2369.8] | | 10000 | 2445 | 2367.0 | 19.7396 | 3.19% | [2366.7, 2367.5] | | 100000 | 2445 | 2369.5 | 20.4312 | 3.09% | [2369.5, 2369.7] |
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