Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Table 13
Computational time costs achieved by MC and QMC methods to detect the mean and variance of the process
, at
, with parameters
,
, and
.
| Size of sampling | Average | Variance | MC | QMC | MC | QMC |
| 256 | 0.0020 | 0.0030 | 0.0020 | 0.0020 | 512 | 0.0020 | 0.0020 | 0.0040 | 0.0040 | 1024 | 0.0050 | 0.0050 | 0.0050 | 0.0060 | 2048 | 0.0090 | 0.0100 | 0.0110 | 0.0120 | 4096 | 0.0170 | 0.0190 | 0.0220 | 0.0200 | 8192 | 0.0350 | 0.0370 | 0.0430 | 0.0410 | 16384 | 0.0690 | 0.0740 | 0.0810 | 0.0830 | 32768 | 0.1410 | 0.2070 | 0.2040 | 0.1940 | 65536 | 0.3020 | 0.2820 | 0.3430 | 0.3310 |
|
|