quasi random no's.
Posted by
Info-1446 on
Mar 15, 2002; 9:47am
URL: http://quantlib.414.s1.nabble.com/quasi-random-no-s-tp1917.html
"I've a question re: the random no. generators used in
quant lib.. for the monte carlo pricer don't you need
to use some low discrepancy (sobol) sequences,
otherwise anything with dimensions >1 is likely to be
inaccurately priced ?? numerical recipies has an
algorithm, but its limited to 6 dimensions. Anyone
know a good algorithm for going beyond this?"
Yes, there is such algorithm. Please, check
http://www.broda.co.uk/software.htmRegards
Sergei