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

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

Fukasawa, Masaaki; Hirano, Asuto