Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model
type: Item
instance of: scholarly article
zbMATH Open document ID: 1273.65006
author: Michael Mascagni
author: Lin-Yee Hin
published in: Monte Carlo Methods and Applications
publication date: 2013-08-28T00:00:00Z
Mathematics Subject Classification ID: 65C10
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65Y05
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 6202452
zbMATH Keywords: parallel computing
zbMATH Keywords: pseudo-random number generators
zbMATH Keywords: testing random numbers
zbMATH Keywords: financial applications
zbMATH Keywords: Heston stochastic volatility model
zbMATH Keywords: parallel computation
zbMATH Keywords: numerical examples
zbMATH Keywords: statistical test
zbMATH Keywords: pricing
describes a project that uses: TestU01
describes a project that uses: trng
describes a project that uses: RngSteam
describes a project that uses: SPRNG
describes a project that uses: dieharder
MaRDI profile type: Publication
full work available at URL: mcma-2013-0006
OpenAlex ID: W1440316993
DOI: 10.1515/MCMA-2013-0006
title: Parallel pseudo-random number generators: a derivative pricing perspective with the Heston stochastic volatility model
description: scientific article; zbMATH DE number 6202452