Monte Carlo(Sobol) v.s. VBA

clement14 · March 24th, 2004, 9:06 am

I hope to pricing multi-asset options. I need to use Monte Carlo in Sobol method. Could you tell me any paper, internet resources or VBA code about Monte Carlo in Sobol method. Thank you very much!

Graeme · March 24th, 2004, 6:31 pm

BRODA (www.broda.com) have a free distribution of an implementation of Sobol, in a language that I don't remember, up to about 50 dimensions. It is a com copmpliant language and the thing they distribute is excel and vba that calls their program, so it is clear enough (not crystal clear, there is no especially useful documentation, but clear enough) what one needs to do. If you want more dimensions you pay, but 50 is about 45 more than I have ever needed.

clement14 · March 25th, 2004, 2:12 am

thank you.http://www.broda.co.uk this website is work.

ametrano · March 31st, 2004, 4:51 pm

Take a look at QuantLib and the QuantLibXL addin. They include Sobol sequences up to dimension 21,200 (8,129,334 if you really want) with Jäckel initialization numbers.ciao -- Nando

clement14 · April 1st, 2004, 11:23 am

THANK YOU. I will try it.