Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes
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Publication:5014246
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
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Cited In (6)
- Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
- Weak Error Rates of Numerical Schemes for Rough Volatility
- Hybrid scheme for Brownian semistationary processes
- A rough SABR formula
- Wiener Spiral for Volatility Modeling
- Bayesian parameter inference for partially observed stochastic volterra equations
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