On the anomaly of ran1() in Monte Carlo pricing of financial derivatives

A. Tajima, S. Ninomiya, S. Tezuka

研究成果: ジャーナルへの寄稿会議記事査読

3 被引用数 (Scopus)


Recently, Paskov reported that, the use of a certain pseudo-random number generator, ran1(), which is given in Numerical Recipes in C First Edition, makes Monte Carlo simulations for pricing financial derivatives converge to wrong values. In this paper, we trace Paskov's experiment, investigate the characteristics and the generation algorithm of the pseudo-random number generator in question, and explain why the wrong convergences occur. We also present a method for avoiding such wrong convergences. A variance reduction procedure is applied together with the method to obtain more precise value, and the effectiveness is examined.

ジャーナルWinter Simulation Conference Proceedings
出版ステータス出版済み - 1996
イベントProceedings of the 1996 Winter Simulation Conference, WSC'96 - Coronado, CA, USA
継続期間: 12月 8 199612月 11 1996

!!!All Science Journal Classification (ASJC) codes

  • ソフトウェア
  • モデリングとシミュレーション
  • 安全性、リスク、信頼性、品質管理
  • 化学的な安全衛生
  • 応用数学


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