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How many paths to simulate correlated Brownian motions?

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  • Antoine Jacquier
  • Louis Jeannerod

Abstract

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

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  • Antoine Jacquier & Louis Jeannerod, 2017. "How many paths to simulate correlated Brownian motions?," Papers 1708.05352, arXiv.org.
    • Handle: RePEc:arx:papers:1708.05352
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    References listed on IDEAS

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    1. Luschgy, Harald & Pagès, Gilles, 2006. "Functional quantization of a class of Brownian diffusions: A constructive approach," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 310-336, February.
    2. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
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