ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES (Q4538107)
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scientific article; zbMATH DE number 1766699
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES |
scientific article; zbMATH DE number 1766699 |
Statements
ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES (English)
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11 July 2002
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pseudo-random number generator
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Monte Carlo simulations
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financial derivatives
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wrong convergences
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variance reduction
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statistical tests
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