Becker, Martin - In: Applied Mathematical Finance 17 (2010) 2, pp. 133-146
Ribeiro and Webber (2006) propose a method to correct for simulation bias in the Monte Carlo valuation of options with pay-offs depending on the extreme value(s) of the underlying which is driven by a special Levy process, namely a normal inverse Gaussian (NIG) or a variance gamma (VG) process....