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Journal of Probability and Statistics
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2015
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Article
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Tab 16
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Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Table 16
Computational time costs for determining the average and variance of the Vasicek interest rate
, at time
, achieved by MC and QMC approaches, with parameters
,
,
, and
.
Size of sampling
Average
Variance
MC
QMC
MC
QMC
1024
0.0030
0.0030
0.0040
0.0020
2048
0.0050
0.0040
0.0080
0.0050
4096
0.0070
0.0080
0.0090
0.0090
8192
0.0150
0.0150
0.0180
0.0190
16384
0.0290
0.0280
0.0370
0.0350
32768
0.0570
0.0570
0.0680
0.0710
65536
0.1090
0.1140
0.1350
0.1420
131072
0.2170
0.2220
0.3150
0.2780
262144
0.4360
0.4520
0.5360
0.5530