Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes

DOI10.1080/14697688.2020.1866209zbMATH Open1479.91443OpenAlexW3126426237MaRDI QIDQ5014246FDOQ5014246

Authors Masaaki Fukasawa, Asuto Hirano

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1866209

zbMATH Keywords

Monte Carlo methodshybrid schemeBrownian semistationary processrough volatility

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• Approximating Lévy semistationary processes via Fourier methods in the context of power markets
• Asymptotic analysis for stochastic volatility: martingale expansion
• Asymptotics for Rough Stochastic Volatility Models
• Brownian semistationary processes and volatility/intermittency
• Contingent claims and market completeness in a stochastic volatility model.
• Correction to Black-Scholes formula due to fractional stochastic volatility
• Fractional {O}rnstein-{U}hlenbeck processes
• Hybrid scheme for Brownian semistationary processes
• On VIX futures in the rough Bergomi model
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Pricing under rough volatility
• Quasi Ornstein-Uhlenbeck processes
• Short-term at-the-money asymptotics under stochastic volatility models
• Short-time at-the-money skew and rough fractional volatility
• Stochastic calculus for fractional Brownian motion and related processes.
• Turbocharging Monte Carlo pricing for the rough Bergomi model
• Volatility has to be rough
• Volatility is rough
• Volatility options in rough volatility models

Cited in

(6)

• Weak Error Rates of Numerical Schemes for Rough Volatility
• Wiener Spiral for Volatility Modeling
• Bayesian parameter inference for partially observed stochastic volterra equations
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Hybrid scheme for Brownian semistationary processes
• A rough SABR formula

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