Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
| Year of publication: |
2002
|
|---|---|
| Authors: | Webber, Nick ; Riveiro, Claudia |
| Institutions: | Financial Econometrics Research Centre, Warwick Business School |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: |
Persistent link: https://www.econbiz.de/10004981058