Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
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Publication:3116021
DOI10.1287/mnsc.1060.0575zbMath1232.91700OpenAlexW2109784406MaRDI QIDQ3116021
Pierre L'Ecuyer, Athanassios N. Avramidis
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.1060.0575
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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