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

DOI10.1515/MCMA-2013-0006MaRDI QIDQ2844293zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cited in

(2)

• Parallel random number generators in Monte Carlo derivative pricing: an application-based test
• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective

Describes a project that uses

Uses Software

• TestU01
• dieharder
• trng
• RngSteam
• SPRNG

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