Abstract
Typical Monte Carlo (MC) simulation in finance starts with the generation of d-dimensional vectors of independent uniform [0,1] random numbers. Quasi random numbers (i.e. Sobol sequence) have a significant advantage over pseudo random numbers (like the Mersenne Twister) in MC simulations. A Brownian bridge over a single factor is a typical technique to improve MC convergence Here we expand the Brownian bridge idea to time-dependent multivariate diffusion.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call