Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model

DOI10.1515/MCMA-2013-0006zbMATH Open1273.65006OpenAlexW1440316993MaRDI QIDQ2844293FDOQ2844293

Michael Mascagni, Lin-Yee Hin

Publication date: 28 August 2013

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

Full work available at URL: https://doi.org/10.1515/mcma-2013-0006

Recommendations

• Parallel random number generators in Monte Carlo derivative pricing: an application-based test
• scientific article; zbMATH DE number 1618022
• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective
• A class of parallel random number generators
• A new empirical test for parallel pseudo-random number generators

zbMATH Keywords

numerical examplesparallel computationparallel computingpricingHeston stochastic volatility modelstatistical testfinancial applicationspseudo-random number generatorstesting random numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Parallel numerical computation (65Y05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cited In (1)

• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective

Uses Software

• SPRNG
• RngSteam
• trng
• dieharder
• TestU01

This page was built for publication: Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2844293)