Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model-Reference-Cited by-同舟云学术

Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model

Published:2006-12 Issue:12 Volume:52 Page:1930-1944
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Avramidis Athanassios N.,L’Ecuyer Pierre

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1060.0575

Reference28 articles.

1. Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities

2. Avramidis A. N., Ingalls R. G., Rossetti M. D., Smith J. S., Peters B. A. Efficient pricing of barrier options with the variance gamma modelProc. 2004 Winter Simulation Conf.(2004) Piscataway, NJIEEE Press15741578

3. Avramidis A. N., L’Ecuyer P., Tremblay P.A. Efficient simulation of gamma and variance-gamma processesProc. 2003 Winter Simulation Conf.(2003) Piscataway, NJIEEE Press319326

4. Processes of normal inverse Gaussian type

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