Exact simulation pricing with Gamma processes and their extensions
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Cited by:
- Chengwei Zhang & Zhiyuan Zhang, 2017. "Sequential Sampling for CGMY Processes via Decomposition of their Time Changes," Papers 1708.00189, arXiv.org, revised Aug 2018.
- Fan Jiang & Xin Zang & Jingping Yang, 2020. "Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes," Papers 2003.06218, arXiv.org.
- Chengwei Zhang & Zhiyuan Zhang, 2018. "Sequential sampling for CGMY processes via decomposition of their time changes," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(6-7), pages 522-534, September.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2013-11-02 (Computational Economics)
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