Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
Year of publication: |
2009
|
---|---|
Authors: | Kaishev, Vladimir K. ; Dimitrova, Dimitrina S. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 55.2009, 3, p. 483-496
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | option pricing | gamma bridge | variance gamma process | Dirichlet partitions | quasi-Monte Carlo | Kingman limit |
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