Asian option model with 2 observation times REPORT on Tally stat. collector ==> Stats on payoff with crude MC num. obs. min max average standard dev. 10000000 0.0000 811.1793 17.0897 30.5608 95.0% confidence interval for mean (student): ( 17.0708, 17.1087 ) Variance per run: 9.3396e+09 Total CPU time: 0:0:13.25 ****************************************** Asian option with sequential sampling Asian option model with 2 observation times LCGPointSet: Number of points: 101 Point set dimension: infinite Number of cycles: 2 Multiplier a: 12 umontreal.iro.lecuyer.hups.RandomShift@179c285 REPORT on Tally stat. collector ==> Stats on payoff with RQMC num. obs. min max average standard dev. 1000 15.1458 21.6857 17.0615 0.8966 95.0% confidence interval for mean (student): ( 17.0059, 17.1171 ) Total CPU time: 0:0:0.15 Variance per run: 81.19 Variance ratio: 11.50 Efficiency ratio: 10.25 ------------------------------------------- Asian option model with 2 observation times DigitalNetBase2: Num cols = 10 Num rows = 31 outDigits = 31 umontreal.iro.lecuyer.hups.LMScrambleShift@758fc9 REPORT on Tally stat. collector ==> Stats on payoff with RQMC num. obs. min max average standard dev. 1000 16.9997 17.3480 17.0957 0.0410 95.0% confidence interval for mean (student): ( 17.0932, 17.0983 ) Total CPU time: 0:0:1.26 Variance per run: 1.724 Variance ratio: 541.8 Efficiency ratio: 582.5 ------------------------------------------- Subset of point set Inner point set information { LCGPointSet: Number of points: 101 Point set dimension: infinite Number of cycles: 2 Multiplier a: 12 } Points range from 1 to 101. Coordinates range from 0 to 2147483647. Total CPU time: 0:0:0.16 Average (deterministic): 17.9789 ****************************************** Asian option with sequential sampling Asian option model with 2 observation times LCGPointSet: Number of points: 65521 Point set dimension: infinite Number of cycles: 2 Multiplier a: 944 umontreal.iro.lecuyer.hups.RandomShift@179c285 REPORT on Tally stat. collector ==> Stats on payoff with RQMC num. obs. min max average standard dev. 1000 17.0808 17.1201 17.0957 8.08E-3 95.0% confidence interval for mean (student): ( 17.0952, 17.0962 ) Total CPU time: 0:1:27.91 Variance per run: 4.280 Variance ratio: 218.2 Efficiency ratio: 215.5 ------------------------------------------- Asian option model with 2 observation times DigitalNetBase2: Num cols = 16 Num rows = 31 outDigits = 31 umontreal.iro.lecuyer.hups.LMScrambleShift@758fc9 REPORT on Tally stat. collector ==> Stats on payoff with RQMC num. obs. min max average standard dev. 1000 17.0943 17.0992 17.0958 7.25E-4 95.0% confidence interval for mean (student): ( 17.0957, 17.0958 ) Total CPU time: 0:1:16.14 Variance per run: 0.03444 Variance ratio: 2.712e+04 Efficiency ratio: 3.092e+04 ------------------------------------------- Subset of point set Inner point set information { LCGPointSet: Number of points: 65521 Point set dimension: infinite Number of cycles: 2 Multiplier a: 944 } Points range from 1 to 65521. Coordinates range from 0 to 2147483647. Total CPU time: 0:1:38.10 Average (deterministic): 17.0944