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Aug 6

halton and sobol sequences

Posted by abiao at 06:45 | Code » Matlab | Comments(0) | Reads(15640)
I couldnot stop using Quasi Monte Carlo simulation for derivative pricing, especially when the problem to solve is a low dimensional one. Among low discrepancy random numbers, Halton sequences and sobol sequences are two of my favorites, although sometimes I compare other sequences like Faure, Haselgrove, and Niederreiter as well. Unlike pseudo-random numbers, low-discrepancy numbers aim not to be serially uncorrelated, but instead to take into account which points in the domain to be sampled have already been probed. Low-discrepancy numbers have become a popular tool for financial Monte Carlo calculations since the early 1990s.

wiki(Low-discrepancy sequence)

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