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Title

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

Authors

Fukasawa, Masaaki; Hirano, Asuto

Abstract

We revisit the Hybrid scheme proposed by Bennedsen et al. (2017) for numerical simulations of Brownian semistationary processes, and propose a Refinement by Reducing and Reusing random numbers of the Hybrid scheme (3R Hybrid scheme). The key idea is to reuse random variables through orthogonal projections. An application to the analysis of the rough Bergomi model is also given.

Subjects

RANDOM numbers; ORTHOGRAPHIC projection; RANDOM variables; FINANCE

Publication

Quantitative Finance, 2021, Vol 21, Issue 7, p1127

ISSN

1469-7688

Publication type

Academic Journal

DOI

10.1080/14697688.2020.1866209

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