几个常用随机数及其性质的比较

Some Common Random Numbers and Their Properties

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.

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.