WG: High-Dimensional Sobol Sequences

Philipp Noël Baecker philipp.baecker@gmx.net
Mon Nov 7 09:49:00 GMT 2005

Von: Philipp Noël Baecker [mailto:philipp.baecker@gmx.net] 
Gesendet: Montag, 24. Oktober 2005 13:00
An: 'gsl-discuss@sources.redhat.com'
Betreff: High-Dimensional Sobol Sequences

Dear Group:
A while ago I extended the dimensionality of the GSL Sobol QRNG to
facilitate a variety of financial applications (e.g. stochastic integration
for American option pricing).
Since I have received a number of request regarding this functionality, I
decided to make the extension available as a small GSL package. It can be
downloaded from
Among my goals are extending this package to include more general sequences
as well as building reliable test routines.
In the meantime, I am grateful for feedback.
Best regards

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