Fast orthogonal transforms and generation of Brownian paths (Q413477)
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scientific article; zbMATH DE number 6031132
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| English | Fast orthogonal transforms and generation of Brownian paths |
scientific article; zbMATH DE number 6031132 |
Statements
Fast orthogonal transforms and generation of Brownian paths (English)
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7 May 2012
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Hartley transform
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Hilbert transform
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Walsh-Hadamard transform
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Brownian bridge
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option pricing
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covariance matrix
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wavelet transforms
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local random interpolation
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discrete Lévy processes
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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.NEWLINENEWLINEDiscrete Lévy processes simulation is also discussed. Applications to different options pricing are presented.
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