Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
| Year of publication: |
2009
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|---|---|
| Authors: | Kaishev, Vladimir K. ; Dimitrova, Dimitrina S. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md : INFORMS, ISSN 0025-1909, ZDB-ID 2063451. - Vol. 55.2009, 3, p. 483-496
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