Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Table 19
Computational cost of computation of statistics of CIR interest rate model
at
, determined by MC, QMC, with
,
,
, and
.
| Size of sampling | Average | Variance | MC | QMC | MC | QMC |
| 256 | 0.0070 | 0.0070 | 0.0060 | 0.0050 | 512 | 0.0080 | 0.0080 | 0.0080 | 0.0060 | 1024 | 0.0110 | 0.0110 | 0.0110 | 0.0100 | 2048 | 0.0190 | 0.0190 | 0.0180 | 0.0170 | 4096 | 0.0340 | 0.0370 | 0.0310 | 0.0310 | 8192 | 0.0680 | 0.0650 | 0.0600 | 0.0560 | 16384 | 0.1440 | 0.1240 | 0.1390 | 0.1110 | 32768 | 0.2700 | 0.2480 | 0.2400 | 0.2240 |
|
|