How many paths to simulate correlated Brownian motions?
Antoine Jacquier, Louis Jeannerod
TL;DR
This paper derives an explicit formula to determine the minimal number of simulation paths required for accurately simulating two correlated Brownian motions.
Contribution
It introduces a novel explicit formula for the optimal number of paths in correlated Brownian motion simulations.
Findings
Explicit formula for optimal number of paths
Reduces computational effort in simulations
Improves accuracy in correlated stochastic processes
Abstract
We provide an explicit formula giving the optimal number of paths needed to simulate two correlated Brownian motions.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Statistical Methods and Inference