How many paths to simulate correlated Brownian motions?
arXiv:1708.05352
Abstract
We provide an explicit formula giving the optimal number of paths needed to simulate two correlated Brownian motions.
2 pages, 1 figure
arXiv:1708.05352
We provide an explicit formula giving the optimal number of paths needed to simulate two correlated Brownian motions.
2 pages, 1 figure