How many paths to simulate correlated Brownian motions?
Probability
2017-08-18 v1 Computational Finance
Abstract
We provide an explicit formula giving the optimal number of paths needed to simulate two correlated Brownian motions.
Keywords
Cite
@article{arxiv.1708.05352,
title = {How many paths to simulate correlated Brownian motions?},
author = {Antoine Jacquier and Louis Jeannerod},
journal= {arXiv preprint arXiv:1708.05352},
year = {2017}
}
Comments
2 pages, 1 figure