How many paths to simulate correlated Brownian motions?

arxiv: 1708.05352 · v1 · pith:XE5OO66Knew · submitted 2017-08-16 · 🧮 math.PR · q-fin.CP

Antoine Jacquier , Louis Jeannerod This is my paper

classification 🧮 math.PR q-fin.CP

keywords browniancorrelatedmotionspathssimulateexplicitformulagiving

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We provide an explicit formula giving the optimal number of paths needed to simulate two correlated Brownian motions.

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