Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model (Q3116021)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model |
scientific article |
Statements
Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model (English)
0 references
21 February 2012
0 references
option pricing
0 references
efficiency improvement
0 references
extrapolation
0 references
quasi-Monte Carlo
0 references
variance gamma
0 references
