Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
| Year of publication: |
2003-08-01
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| Authors: | Webber, Nick ; Ribeiro, Claudia |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Monte Carlo simulations | Bridge method | Variance-gamma | Option valuation |
| Extent: | text/plain |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 4 |
| Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005170606