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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| English | Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes |
scientific article; zbMATH DE number 7436822 |
Statements
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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0.8710136413574219
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0.8224810361862183
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0.7196528315544128
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0.6854971647262573
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0.6723771095275879
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