Kaishev, Vladimir K.; Dimitrova, Dimitrina S. - In: Management Science 55 (2009) 3, pp. 483-496
The authors develop a new Monte Carlo-based method for pricing path-dependent options under the variance gamma (VG …. Efficient simulation of gamma and variance-gamma processes. Proc. 2003 Winter Simulation Conf. IEEE Press, Piscataway, NJ, 319 …-326) and Ribeiro and Webber (Ribeiro, C., N. Webber. 2004. Valuing path-dependent options in the variance-gamma model by Monte …