Accessible Requires Authentication Published by De Gruyter January 30, 2019

Comparison of Sobol’ sequences in financial applications

Shin Harase

Abstract

Sobol’ sequences are widely used for quasi-Monte Carlo methods that arise in financial applications. Sobol’ sequences have parameter values called direction numbers, which are freely chosen by the user, so there are several implementations of Sobol’ sequence generators. The aim of this paper is to provide a comparative study of (non-commercial) high-dimensional Sobol’ sequences by calculating financial models. Additionally, we implement the Niederreiter sequence (in base 2) with a slight modification, that is, we reorder the rows of the generating matrices, and analyze and compare it with the Sobol’ sequences.

MSC 2010: 65C05; 65D30; 65C10

Funding source: Japan Society for the Promotion of Science

Award Identifier / Grant number: JP18K18016

Award Identifier / Grant number: JP26730015

Award Identifier / Grant number: JP26310211

Award Identifier / Grant number: JP15K13460

Funding statement: This work was partially supported by JSPS KAKENHI Grant Numbers JP18K18016, JP26730015, JP26310211, JP15K13460. This work was also supported by JST CREST.

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Received: 2018-09-06
Revised: 2018-12-10
Accepted: 2019-01-08
Published Online: 2019-01-30
Published in Print: 2019-03-01

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