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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