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Table 3 Convergence sparse grid \(\omega=1, 2, 3, 4, 5\). Monte Carlo solutions mean 3.6879e+01 and standard deviation 5.9820e−01

From: Uncertainty quantification and Heston model

  ω = 1 ω = 2 ω = 3 ω = 4 ω = 5
Points 11 61 241 801 2433
Mean 3.7765e+01 3.7338e+01 3.6779e+01 3.6926e+01 3.6842e+01
Std. Dev. 8.5236e−01 6.0479e−01 6.8795e−01 5.94229e−01 6.1646e−01
Mean error 8.8542e−01 4.5846e−01 9.9622e−02 4.6040e−02 3.7463e−02
Std. Dev. error 2.5416e−01 6.5885e−03 8.97506e−02 3.9754e−03 1.8257e−02
\(L_{1}\) error 9.0194e−01 4.6129e−01 1.4612e−01 5.5369e−02 4.9122e−02
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