by Sergey A. Maidanov

Monte Carlo simulation is one of the recognized numerical tools for pricing derivative securities, particularly flexible and useful for complex models of real markets.

The goal of this article is to compare performance advantages and simplicity of using random number generators available in some industrial numerical libraries. For that purpose, a simple and well-known Black-Scholes option pricing model is used as a framework for illustrating the option pricing use.

The paper is intended for software developers interested in efficient implementations of Monte Carlo simulations.

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