Parameterization based on randomized quasi-Monte Carlo methods
Giray Ökten, Matthew Willyard
We present a theoretical framework where any randomized quasi-Monte Carlo method can be viewed and analyzed as a parameterization method for parallel quasi-Monte Carlo. We present deterministic and stochastic error bounds when different processors of the computing environment run at different speeds. We implement two parameterization methods, both based on randomized quasi-Monte Carlo, and apply them to pricing digital options and collateralized mortgage obligations. Numerical results are used to compare the parameterization methods by their parallel performance as well as their Monte Carlo efficiency.
IEEE International Parallel and Distributed Processing Symposium (IPDPS)•Apr 1, 2008•1 citation