Correlated path redundancy for Monte Carlo

Abstract When simulating two correlated Brownian motions, some of the paths are clearly redundant. We provide an explicit formula characterising the optimal number of sample paths needed to simulate them.

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Publication Details

Journal
Monte Carlo Methods and Applications
Published
2026-11-04
DOI
https://doi.org/10.1515/mcma-2026-3023
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
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article

Correlated path redundancy for Monte Carlo

Antoine Jacquier
Monte Carlo Methods and Applications
Stochastic processes and financial applications
article

Correlated path redundancy for Monte Carlo

Antoine Jacquier
article en

Abstract

Abstract When simulating two correlated Brownian motions, some of the paths are clearly redundant. We provide an explicit formula characterising the optimal number of sample paths needed to simulate them.

Monte Carlo Methods and Applications
Imperial College London (GB)
Openalex Percentile: Top 12%
Stochastic processes and financial applications
DOIOpen Access PDFOpenAlex
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Correlated path redundancy for Monte Carlo — Antoine Jacquier · Monte Carlo Methods and Applications (2026) | TGRS Research Map | TGRS