Monte Carlo simulation using various industry library solutions
Free Online Random Number Generator Monte Carlo Simulation Software: For software developers interested in efficient implementations of Monte Carlo simulations, the first step is comparing performance advantages and simplicity of using random number generators available in some industrial numerical libraries.
by Sergey A. Maidanov. Intel Corp.
by Sergey A. Maidanov. Intel Corp.
Monte Carlo simulation is one of the recognized numerical tools for pricing derivative securities, particularly flexible and useful for complex models of real markets.
The goal of this article is to compare performance advantages and simplicity of using random number generators available in some industrial numerical libraries. For that purpose a simple and well-known Black-Scholes option pricing model, is used as a framework for illustrating the option pricing use.
The paper is intended for software developers interested in efficient implementations of Monte Carlo simulations.
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© 2004 Intel Corp.
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