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

Masaaki Fukasawa and Asuto Hirano

Quantitative Finance, 2021, vol. 21, issue 7, 1127-1146

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.

Date: 2021
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DOI: 10.1080/14697688.2020.1866209

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