Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model
| Year of publication: |
2006
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|---|---|
| Authors: | Avramidis, Athanassios N. ; L'Ecuyer, Pierre |
| 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. 52.2006, 12, p. 1930-1944
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