Comparison of Path Generation Methods for Monte Carlo Valuation of Single Underlying Derivative Securities: Working Paper

Monte Carlo simulations based on quasi-random Sobol
sequences and pseudo-random numbers are compared with and without a
stratified sampling variance reduction procedure (VR). We find that Sobol
sequencs are markedly superior to pseudo-random without VR and comparable
with VR.

By: C. Leonard Berman

Published in: RC20570 in 1996


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