Cao, Lingyan; Guo, Zheng-Feng - In: Accounting & Taxation 4 (2012) 1, pp. 75-81
Assuming the underlying assets follow a Variance-Gamma (VG) process, we consider the problem of estimating gradients of a European call option by Monte Carlo simulation methods. In this paper, we compare indirect methods (finite difference techniques such as forward differences) and two direct...