We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- 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