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) model. The gamma bridge sampling method proposed by Avramidis et al. (Avramidis, A. N., P. L'Ecuyer, P. A. Tremblay. 2003. Efficient simulation of gamma and variance-gamma...
