Title :
On the anomaly of ran1() in monte carlo pricing of financial derivatives
Author :
Tajima, Akira ; Ninomiya, Syoiti ; Tezuka, Shu
Keywords :
Analysis of variance; Character generation; Computational modeling; Finance; Laboratories; Loans and mortgages; Monte Carlo methods; Pricing; Random number generation; Random sequences;
Conference_Titel :
Simulation Conference, 1996. Proceedings. Winter
Print_ISBN :
0-7803-3383-7
DOI :
10.1109/WSC.1996.873301
