Monte Carlo Option Pricing

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

Business, Economics, Finance +13

Mersenne twister

Makoto Matsumoto, Takuji Nishimura · ACM Transactions on Modeling and Computer Simulation · 1998 · 5.7K citations

Computing, Computer Engineering, Computer Science +12

A Note on the Generation of Random Normal Deviates

George E. P. Box · The Annals of Mathematical Statistics · 1958 · 3.4K citations · Full text

Natural Sciences, Decision Sciences, Probability Theory +1

The Accuracy of Floating Point Summation

Nicholas J. Higham · SIAM Journal on Scientific Computing · 1993 · 267 citations

Computing, Computer Science, Mathematics +11

Accurate floating-point summation

Peter Linz · Communications of the ACM · 1970 · 89 citations · Full text

Computing, Computer Science, Mathematics +13