Owen Scrambling a la Burley
In my last post, I had a look at Quantlib implementation of a new scrambling method for Sobol due to Brent Burley of Walt Disney Studios Practical Hash-based Owen Scrambling.
Because it originates from the CG community, I had assumed that this was faster than the more classic scrambling ACM Algorithm 823 by Hickernell and Hong. I was wrong. It may be faster for specific use cases, but in general it is (much) slower, especially for the kind of (quasi) Monte-Carlo simulation that we use in quantit
