| 几个常用随机数及其性质的比较 |
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| 引用本文： | 周心莲.几个常用随机数及其性质的比较[J].郧阳师范高等专科学校学报,2010,30(6):13-17. |
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| 作者姓名： | 周心莲 |
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| 作者单位： | 郧阳师范高等专科学校数学与财经系,湖北十堰442000 |
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| 摘 要： | 在期权定价问题中,由于对许多期权无法导出期权定价的解析公式,所以人们也常采用蒙特卡罗模拟方法进行数值模拟,获得期权价格的数值解.随机采样是蒙特卡罗和拟蒙特卡罗方法的核心.蒙特卡罗方法和拟蒙特卡罗方法的成功当然取决于随机模型的构造,但很大程度上也取决于模型计算中随机数的性质.
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| 关 键 词： | 拟蒙特卡罗 Sobol序列 Halton序列 Faure序列 |
Some Common Random Numbers and Their Properties |
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| ZHOU Xin-lian.Some Common Random Numbers and Their Properties[J].Journal of Yunyang Teachers College,2010,30(6):13-17. |
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| Authors: | ZHOU Xin-lian |
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| Institution: | ZHOU Xin-lian (Department of Maths and Finance, Yunyang Teachers＇ College, Shiyan 442000, China) |
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| Abstract: | In option pricing, many options can＇t have option pricing formula, so quasi-monte carlo has been applied to perform numerical simulation to obtain the numerical solution of option pricing. Random sampling is the core of monte carlo and quasi-monte carlo method, whose successes are from the forming of random models, depending on the properties of the random numbers in the model. |
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| Keywords: | quasi-monte carlo Sobol sequence Halton sequence Faure sequence |
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