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Nov 13

Primitive polynomials for Sobol sequences

Posted by abiao at 21:16 | Code » Mathematica | Comments(0) | Reads(7973)
Quasi monte carlo method is popular for derivative pricing, Sobol sequences is among the most widely-used low-discrepancy sequences, and most efficient one I have ever used. The biggest challenge for generating sobol sequences is to construct primitive polynomials, here is a Mathematic file showing the algorithm to construct primitive polynomials for multi-dimensional Sobol sequences , have fun.


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