tag:blogger.com,1999:blog-14415229.post8873501154156125102..comments2023-10-10T16:55:02.139+02:00Comments on Chase The Devil: On Quasi Random Numbers - MersenneTwister vs Sobol precision in Asian Option PricingFabienhttp://www.blogger.com/profile/07288327695801480778noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-14415229.post-42881605887557200542012-04-30T15:32:47.331+02:002012-04-30T15:32:47.331+02:00I meant independent random numbers. So what you su...I meant independent random numbers. So what you suggest is correct with a RNG like Mersenne Twister, but not with Pseudo-RNGs like Sobol.Fabienhttps://www.blogger.com/profile/07288327695801480778noreply@blogger.comtag:blogger.com,1999:blog-14415229.post-75220272116891483512012-04-28T20:06:19.718+02:002012-04-28T20:06:19.718+02:00What exactly do u mean when u say "different ...What exactly do u mean when u say "different generators"? Cant I price an asian option by creating a RNG and asking it to generate Nstep values for each of Npath paths?Hhttps://www.blogger.com/profile/12521326084374047823noreply@blogger.com