Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
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Publication:5014246
DOI10.1080/14697688.2020.1866209zbMath1479.91443OpenAlexW3126426237MaRDI QIDQ5014246
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
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65)
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