Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Table 12
Time costs of computations for PCE, approximating GBM at
for
,
, and
.
| | Degree of PCE | Computational time costs |
| | 1 | 0.0170 | | 2 | 0.0210 | | 3 | 0.0340 | | 4 | 0.0370 | | 5 | 0.0530 | | 6 | 0.0560 | | 7 | 0.0710 | | 8 | 0.0740 | | 9 | 0.0930 | | 10 | 0.0990 | | 11 | 0.1090 | | 12 | 0.1210 | | 13 | 0.1370 | | 14 | 0.1390 | | 15 | 0.1480 |
|
|
