Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes (Q5014246)

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scientific article; zbMATH DE number 7436822
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Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
scientific article; zbMATH DE number 7436822

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    Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes (English)
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    1 December 2021
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    rough volatility
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    hybrid scheme
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    Brownian semistationary process
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    Monte Carlo methods
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