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.