Stock Market Example
Example of using
The Wrong Way to Perform Multiple Monte Carlo
(v) When one does multiple integrals
by Monte Carlo and chooses a set of
, one chooses separately
randomly. This gives
distributed randomly over the plane.
It would be
wrong to view as in Newton Cotes as an integral over
where we think of doing
integrals by Monte Carlo.
This incorrect approach gives a set of points
where one first chooses
randomly, then fixing this value of
random values of
; then change to a new random
and so on.
This scenario gives use to a set
In this case error is proportional to
are chosen independently.
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