What question did this study set out to answer?

The aim is to explore efficient simulation techniques for fractional Brownian motion, particularly under rough conditions.

Efficient simulation of fractional Brownian motion

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This work demonstrates novel simulation strategies for fractional Brownian motion in finance, suggesting significant efficiency gains.

The aim is to explore efficient simulation techniques for fractional Brownian motion, particularly under rough conditions.
Reviewed definitions and properties of univariate and multivariate fractional Brownian motions.
Compared four different simulation methods for fractional Brownian motion.
Demonstrated issues with the standard Euler scheme for $H < 0.5$ models.
Introduced a novel simulation method based on an algorithm by Ma and Wu for increased efficiency.
Showed that the standard Euler scheme is ineffective for rough models.
Achieved a factor of 10 speedup with the novel simulation method.
Demonstrated applications of the new methods in the context of option pricing.

Bilokon et al. (2026) studied this question.

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