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Computing in Economics and Finance 2003
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A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge
Webber, Nick
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Ribeiro, Claudia
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Society for Computational Economics - SCE
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2003
Persistent link: https://www.econbiz.de/10005537821
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Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
Webber, Nick
;
Ribeiro, Claudia
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Society for Computational Economics - SCE
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2003
Persistent link: https://www.econbiz.de/10005170606
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