Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing...

Management Science 2006 / 12 Vol. 52; Iss. 12

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

Avramidis, Athanassios N., L’Ecuyer, Pierre
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Volume:
52
Language:
english
Journal:
Management Science
DOI:
10.1287/mnsc.1060.0575
Date:
December, 2006
File:
PDF, 437 KB
english, 2006
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