{"id":"https://openalex.org/W1440316993","doi":"https://doi.org/10.1515/mcma-2013-0006","title":"Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model","display_name":"Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model","publication_year":2013,"publication_date":"2013-01-14","ids":{"openalex":"https://openalex.org/W1440316993","doi":"https://doi.org/10.1515/mcma-2013-0006","mag":"1440316993"},"language":"en","primary_location":{"id":"doi:10.1515/mcma-2013-0006","is_oa":false,"landing_page_url":"http://doi.org/10.1515/mcma-2013-0006","pdf_url":null,"source":{"id":"https://openalex.org/S142132501","display_name":"Monte Carlo Methods and Applications","issn_l":"0929-9629","issn":["0929-9629","1569-3961"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Monte Carlo Methods and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5071387306","display_name":"Michael Mascagni","orcid":"https://orcid.org/0000-0003-3058-4580"},"institutions":[{"id":"https://openalex.org/I103163165","display_name":"Florida State University","ror":"https://ror.org/05g3dte14","country_code":"US","type":"education","lineage":["https://openalex.org/I103163165"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Michael Mascagni","raw_affiliation_strings":["Departments of Computer Science, Mathematics & Scientific Computing, and Graduate Program in Molecular Biophysics, Florida State University, Tallahassee, FL 32308-4530, USA"],"affiliations":[{"raw_affiliation_string":"Departments of Computer Science, Mathematics & Scientific Computing, and Graduate Program in Molecular Biophysics, Florida State University, Tallahassee, FL 32308-4530, USA","institution_ids":["https://openalex.org/I103163165"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5017374564","display_name":"Lin\u2010Yee Hin","orcid":"https://orcid.org/0000-0002-6125-4632"},"institutions":[{"id":"https://openalex.org/I205640436","display_name":"Curtin University","ror":"https://ror.org/02n415q13","country_code":"AU","type":"education","lineage":["https://openalex.org/I205640436"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Lin-Yee Hin","raw_affiliation_strings":["Department of Mathematics & Statistics, Curtin University of Technology, Bentley, WA 6102, Australia"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics & Statistics, Curtin University of Technology, Bentley, WA 6102, Australia","institution_ids":["https://openalex.org/I205640436"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5071387306"],"corresponding_institution_ids":["https://openalex.org/I103163165"],"apc_list":null,"apc_paid":null,"fwci":0.4322,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.6969697,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"0","issue":"0","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.942300021648407,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.942300021648407,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11181","display_name":"Advanced Data Storage Technologies","score":0.9384999871253967,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/random-number-generation","display_name":"Random number generation","score":0.6772165894508362},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6114023923873901},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5180066227912903},{"id":"https://openalex.org/keywords/thread","display_name":"Thread (computing)","score":0.5090999007225037},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.487806111574173},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.43076062202453613},{"id":"https://openalex.org/keywords/scalability","display_name":"Scalability","score":0.42492133378982544},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.40805745124816895},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.38208404183387756},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.29343199729919434},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.12218719720840454}],"concepts":[{"id":"https://openalex.org/C201866948","wikidata":"https://www.wikidata.org/wiki/Q228206","display_name":"Random number generation","level":2,"score":0.6772165894508362},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6114023923873901},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5180066227912903},{"id":"https://openalex.org/C138101251","wikidata":"https://www.wikidata.org/wiki/Q213092","display_name":"Thread (computing)","level":2,"score":0.5090999007225037},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.487806111574173},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.43076062202453613},{"id":"https://openalex.org/C48044578","wikidata":"https://www.wikidata.org/wiki/Q727490","display_name":"Scalability","level":2,"score":0.42492133378982544},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40805745124816895},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.38208404183387756},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.29343199729919434},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.12218719720840454},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1515/mcma-2013-0006","is_oa":false,"landing_page_url":"http://doi.org/10.1515/mcma-2013-0006","pdf_url":null,"source":{"id":"https://openalex.org/S142132501","display_name":"Monte Carlo Methods and Applications","issn_l":"0929-9629","issn":["0929-9629","1569-3961"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Monte Carlo Methods and Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:bpj:mcmeap:v:19:y:2013:i:2:p:77-105:n:3","is_oa":false,"landing_page_url":"https://doi.org/10.1515/mcma-2013-0006","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2389214306","https://openalex.org/W2033778626","https://openalex.org/W4235240664","https://openalex.org/W2026780467","https://openalex.org/W1838576100","https://openalex.org/W2757182831","https://openalex.org/W2965083567","https://openalex.org/W2187110187","https://openalex.org/W2095886385","https://openalex.org/W2286180210"],"abstract_inverted_index":{"Accuracy":[0],"and":[1,17,48,97,113,117,149,169,173,203],"precision":[2,98],"of":[3,15,40,74,104,129,197,206],"parallel":[4,23,191],"Monte":[5],"Carlo":[6],"(MC)":[7],"simulations":[8],"may":[9,65],"be":[10,222],"impaired":[11],"by":[12,232],"the":[13,22,38,69,79,95,133,143,178,212,216,227],"presence":[14],"intra-thread":[16,229],"inter-thread":[18],"correlations":[19,42],"depending":[20],"on":[21],"pseudo-random":[24,106,122],"number":[25,107,123],"generators":[26,108,124],"(PPRNGs)":[27],"used.":[28],"While":[29],"necessary,":[30],"statistical":[31],"tests":[32,58],"alone":[33],"are":[34,136,152],"insufficient":[35],"to":[36,50,60,93],"ensure":[37],"absence":[39],"these":[41],"that":[43],"can":[44],"manifest":[45],"as":[46,159,161,224],"bias":[47,134,145,202,219],"variance":[49],"a":[51,84,188,195],"extent":[52],"in":[53,68,91,147,209],"different":[54],"applications.":[55,71],"Therefore,":[56],"application-based":[57,76],"designed":[59],"mimic":[61],"real-life":[62],"MC":[63,192],"scenarios":[64],"uncover":[66],"them":[67],"intended":[70],"The":[72],"results":[73],"an":[75],"test":[77],"simulating":[78],"Heston":[80],"stochastic":[81],"volatility":[82],"model,":[83],"widely":[85],"used":[86,223],"pricing":[87],"framework,":[88],"is":[89,183],"reported":[90],"order":[92],"compare":[94],"accuracy":[96],"profiles":[99,135,146,208],"among":[100],"four":[101],"popular":[102],"libraries":[103],"scalable":[105],"implementing":[109],"sequence":[110],"division":[111],"(trng":[112],"RngSteam),":[114],"parameterization":[115],"(sprng)":[116],"counter-based":[118],"(Random123)":[119],"strategies.":[120],"All":[121],"assessed":[125],"demonstrate":[126],"similar":[127],"standard-error":[128],"mean":[130,207],"profiles.":[131],"However,":[132],"more":[137],"varied":[138],"albeit":[139],"comparable.":[140],"PPRNGs":[141,199],"demonstrating":[142],"smallest":[144,217,228],"absolute":[148,210],"relative":[150],"terms":[151],"yarn4":[153],"from":[154,157,163,171,175,194],"TRNG,":[155],"mlfg":[156],"SPRNG,":[158],"well":[160],"Threefry2x64":[162],"Random123":[164],"for":[165,177,190],"truncated":[166],"Euler":[167],"scheme,":[168],"mrg5s":[170],"TRNG":[172],"lfg":[174],"SPRNG":[176],"quadratic":[179],"exponent":[180],"scheme.":[181],"It":[182],"recommended":[184],"that,":[185],"when":[186],"selecting":[187],"PPRNG":[189,213],"simulation":[193],"set":[196],"competing":[198],"with":[200,215],"comparable":[201],"standard":[204],"error":[205],"terms,":[211],"associated":[214],"parallel-sequential":[218],"difference":[220],"should":[221],"it":[225],"reflects":[226],"correlation":[230],"introduced":[231],"parallelization.":[233]},"counts_by_year":[{"year":2013,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2016-06-24T00:00:00"}