Quantum systems for Monte Carlo methods and applications to fractional stochastic processes

DOI10.1016/j.physa.2019.121901OpenAlexW2896964177MaRDI QIDQ2163670

Rupak Chatterjee, Sebastian Florin Tudor, Lac Nguyen, Yuping Huang

Publication date: 10 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.05639

zbMATH Keywords

fractional Brownian motionstochastic processesoption pricingMonte Carlo simulationvolatility modelsquantum random number generatorsfractional SABR model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• MersenneTwister
• longmemo

Cites Work

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• Integration with respect to fractal functions and stochastic calculus. I
• The Malliavin Calculus and Related Topics
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Tests for Hurst effect
• Wavelet analysis and synthesis of fractional Brownian motion
• Mersenne twister
• Volatility is rough
• Turbocharging Monte Carlo pricing for the rough Bergomi model
• Target volatility option pricing in the lognormal fractional SABR model
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes
• Hybrid scheme for Brownian semistationary processes

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