Parallel random number generators in Monte Carlo derivative pricing: an application-based test

DOI10.1515/MCMA-2012-0005MaRDI QIDQ2895879zbMATH OpenOpenAlexFDO

Authors Michael Mascagni, Lin-Yee Hin

Publication date 13 July 2012

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/115308

zbMATH Keywords

financial applicationsparallel random number generatorstesting random numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(5)

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Describes a project that uses

Uses Software

• trng
• TestU01

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