Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge

Nick Webber and Claudia Ribeiro

No 4, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Monte Carlo simulations; Bridge method; Variance-gamma; Option valuation (search for similar items in EconPapers)
JEL-codes: C15 G13 (search for similar items in EconPapers)
Date: 2003-08-01
New Economics Papers: this item is included in nep-cfn, nep-cmp and nep-rmg
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Citations: View citations in EconPapers (8)

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