There is a plethora of pseudo-random-generators out there. Some of them are definetly better and some of them severily underperform.
My standard tool is Mersenne Twister - when I need to generate some decent pseudo randoms.
Still I never actually explicitly tested how the random-generator-choice affects the prices of derivatives.
- Are there any papers on this topic out there ?
- Does a "gold-standard" exist ? (a standard generator that is very widespread in quant circles)
- What are your personal experiences with the effects of generator-choice?