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Journal of Mathematics in Industry
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Table 2 Convergence full tensor
\(\omega=1, 2\)
. Monte Carlo solutions mean 3.6879e+01 and standard deviation 5.9820e−01
From:
Uncertainty quantification and Heston model
ω
= 1
ω
= 2
Points
243
3125
Mean
3.7059e+01
3.6884e+01
Std. Dev.
5.6508e−01
5.8003e−01
Mean error
1.7918e−01
4.6750e−03
Std. Dev. error
3.3129e−02
1.8174e−02
\(L_{1}\)
error
1.9722e−01
3.4194e−02
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