How to use `set_option` for `mosek_params` to control the duality gap

I want to control the precision of the solver mosek, i.e., the duality gap between the primal objective and the dual objective. It seems that I should use something like prob.set_option('mosek_params', {'MSK_DPAR_INTPNT_CO_TOL_INFEAS':1e-12}) according to the document. But nothings changes. Have I used set_option correctly? I have also tried other parameters for mosek, but still nothing changes.