Hybrid scheme for Brownian semistationary processes
Work
Year: 2017
Type: article
Abstract: We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kern... more
Source: Finance and Stochastics
Institutions Aarhus University, Imperial College London
Cites: 46
Cited by: 130
Related to: 10
FWCI: 21.22
Citation percentile (by year/subfield): 95.66
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,890