Research Article
Polynomial Chaos Expansion Approach to Interest Rate Models
Table 7
Absolute errors of the two quantiles
and
of the PCE approximation of Vasicek interest rate model at time
. The parameters are set as
,
,
, and
.
| | Degree of PCE | | |
| | 0 | 4.3141e − 02 | 5.7307e − 02 | | 1 | 2.6231e − 01 | 3.4536e − 01 | | 2 | 2.6231e − 01 | 3.4536e − 01 | | 3 | 2.6231e − 01 | 3.4541e − 01 | | 4 | 2.6231e − 01 | 3.4536e − 01 | | 5 | 2.6231e − 01 | 3.4536e − 01 | | 6 | 2.6231e − 01 | 3.4536e − 01 | | 7 | 2.6231e − 01 | 3.4536e − 01 | | 8 | 2.6231e − 01 | 3.4536e − 01 | | 9 | 2.6231e − 01 | 3.4536e − 01 | | 10 | 2.6231e − 01 | 3.4536e − 01 | | 11 | 2.6231e − 01 | 3.4536e − 01 | | 12 | 2.6231e − 01 | 3.4536e − 01 | | 13 | 2.6231e − 01 | 3.4536e − 01 | | 14 | 2.6231e − 01 | 3.4536e − 01 | | 15 | 2.6231e − 01 | 3.4537e − 01 |
|
|
