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etics24-rqmc-examples

RQMC examples in SSJ for ETICS 2024

This repository contains a single package of examples of Java programs that use the SSJ library to experiment with randomized quasi-Monte Carlo methods. These programs require the SSJ library available at https://github.com/umontreal-simul/ssj, version 3.3.2 or later.

The program TestAsianOptionRQMC.java gives a good illustration of how to test and compare RQMC methods on one function f.