Fast orthogonal transforms and generation of Brownian paths (Q413477): Difference between revisions

Methods of discrete Brownian paths simulations are presented. They are based on orthogonal decomposition of the covariance matrix (using fast discrete Hartley, Hilbert, Walsh-Hadamard and wavelet transforms) and local random interpolation of gaps by the Brownian bridge paths. Discrete Lévy processes simulation is also discussed. Applications to different options pricing are presented.