haku: @author Tezuka, S. / yhteensä: 1
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| Tekijä: | Tajima, A. Ninomiya, S. Tezuka, S. |
| Otsikko: | Analysis of the anomaly of ran1() generator in Monte Carlo pricing of financial derivatives |
| Lehti: | Journal of the Operations Research Society of Japan
1998 : SEP, VOL. 41:3, p. 387-397 |
| Asiasana: | Stock options Pricing Monte Carlo technique Models |
| Kieli: | eng |
| Tiivistelmä: | In the paper it is presented that recently Paskov has reported that the use of a certain pseudo-random number generator, ran1(), given in Numerical Recipes in C, First Edition makes Monte Carlo simulations for pricing financial derivatives converge to wrong values. The paper aims to trace the Paskov's experiment, with an investigation of characteristics and explanation for the wrong convergences. |
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