The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
Algorithm 806: SPRNG: a scalable library for pseudorandom number generation
ACM Transactions on Mathematical Software (TOMS)
Black-Scholes for Scientific Computing Students
Computing in Science and Engineering
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Modeling and simulation has been popularly used to explain complex phenomena or find knowledge in many areas such as science and engineering, business and economics, and social science. Monte Carlo simulation has been popularly used in modeling and simulation, and generating a sequence of random numbers has been at the center of Monte Carlo simulation. With the advent of parallel computing architecture, parallel modeling and simulation has been popular in many areas and many researches have been done to generate a sequence of random numbers in parallel computing environment. In this paper, we are proposing a framework to generate a sequence of random numbers in parallel and showing the usage of the framework in financial applications.