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An introduction to quasirandom numbers (介绍quasirandom数字)
An introduction to quasi-random numbers
By George Levy, Numerical Algorithms Group Ltd.
Introduction
Monte-Carlo simulation and random number generation are techniques that are widely used in
financial engineering as a means of assessing the level of exposure to risk. Typical applications
include the pricing of financial derivatives and senario generation in portfolio management. In fact
many of the financial applications that use Monte-Carlo simulation involve the evaluation of
various stochastic integrals which are related to the probabilities of particular events occurring.
A case in point is the pricing of a simple European option, where the value of a call option is
_
rT _ T rT T
V e E[max(( S X )),0)] while the value of a put is V e E[max(( X S ),0)] . Here
c p
X is the strike price,T is the maturity of the option, r is the risk free interest rate, S T is the market
_
value of the asset at maturity and E[] denotes the expectation operator.
The value of a European put is therefore, V e rT p (S T ) max(( X S T ),0) dS T where p (S T ) is
p
the probability that the asset will have market value S T at maturity.
If it is assumed that the value of the asset follows geometric Brownian motion andp (S T ) is the
lognormal distribution then the Black-Scholes formula [1] can be used to price the options as
follows:
V S 0 N (d ) e rT X N (d ),
c 1 2
V S 0 N (d ) e rT X N (d )),
p
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