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

DOI10.1515/MCMA-2012-0005zbMATH Open1242.91204OpenAlexW2030314651MaRDI QIDQ2895879FDOQ2895879

Lin-Yee Hin, Michael Mascagni

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)

Cited In (2)

• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective
• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives

Uses Software

• trng
• TestU01

This page was built for publication: Parallel random number generators in Monte Carlo derivative pricing: an application-based test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2895879)