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

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

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

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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 (5)

• High performance computing in quantitative finance: a review from the pseudo-random number generator perspective
• Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model
• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES
• Title not available (Why is that?)

Uses Software

• trng
• TestU01

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