Parallel random number generators in Monte Carlo derivative pricing: An application-based test.
Michael MascagniLin-Yee HinPublished in: Monte Carlo Methods Appl. (2012)
Keyphrases
- monte carlo
- random number generators
- pseudo random number generators
- random number
- random numbers
- variance reduction
- markov chain
- monte carlo simulation
- monte carlo methods
- importance sampling
- matrix inversion
- monte carlo tree search
- markovian decision
- point processes
- adaptive sampling
- stochastic approximation
- temporal difference
- particle filter
- machine learning
- generative model
- upper bound
- quasi monte carlo
- probabilistic model