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

DOI10.1515/mcma-2012-0005zbMath1242.91204OpenAlexW2030314651MaRDI QIDQ2895879

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

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Uses Software

• trng
• TestU01

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