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

DOI10.1515/mcma-2013-0006zbMath1273.65006MaRDI QIDQ2844293

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 examples; parallel computation; parallel computing; pricing; Heston stochastic volatility model; statistical test; financial applications; pseudo-random number generators; testing random numbers

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

65Y05: Parallel numerical computation

65C10: Random number generation in numerical analysis

91G10: Portfolio theory

Uses Software

• SPRNG
• RngSteam
• trng
• dieharder
• TestU01