Random Numbers

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 12 in Quantitative Methods for Finance with Simulations II, 2026, pp 207-230 from Springer

Abstract: Abstract In this chapter we presents methods of generation of random numbers. The Monte Carlo method was invented by John von Neumannvon Neumann, John and Stanislaw Ulam. It is based on probabilistic ideas and can solve many problems, at least approximately. The method is powerful in option pricing, which will be investigated in Chap. 13. We need random numbers to apply the method. For efficiency, we need a good random number generator.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_12

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DOI: 10.1007/978-3-032-12331-2_12

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