Comparison of Path Generation Methods for Monte Carlo Valuation of Single Underlying Derivative Securities
Preprint
- 1 January 1996
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
Monte Carlo simulations based on quasi-random Sobol sequences and pseudo-random numbers are compared with and without a stratified sampling variance reduction pKeywords
This publication has 3 references indexed in Scilit:
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