Polynomial Chaos Expansion Approach to Interest Rate Models

Figure 20

Semilogy scale plot of the error of mean (a) and variance (b) computed via MC, QMC, and PCE for the Vasicek model at time , with , , , and and . The displayed errors for the mean are , , and absolute error for PCE, while, for the variance, we have , , and absolute error for PCE.

(a)

(b)