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by klp2
January 14th, 2013, 7:34 am
Forum: Numerical Methods Forum
Topic: Sobol and scrambling.
Replies: 3
Views: 10617

Sobol and scrambling.

Thanks a lot, I'll give it a try.
by klp2
January 11th, 2013, 2:37 pm
Forum: Numerical Methods Forum
Topic: Sobol and scrambling.
Replies: 3
Views: 10617

Sobol and scrambling.

<t>I have been using Sobol for Montecarlo pricing. I noticed something that surprised me, I try to explain it with some details.Let us say that for a simulation I need 10,000 points in the n-dimensional cube. I use the first 10,000 points in the Sobol sequence (now don't worry about and initial offs...