Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
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- Gian P. Cervellera & Marco P. Tucci, 2017. "A note on the Estimation of a Gamma-Variance Process: Learning from a Failure," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 363-385, March.
- Nguyen Nguyet & Ökten Giray, 2016. "The acceptance-rejection method for low-discrepancy sequences," Monte Carlo Methods and Applications, De Gruyter, vol. 22(2), pages 133-148, June.
- Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, François, 2008. "Pricing derivatives with barriers in a stochastic interest rate environment," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2903-2938, September.
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KeywordsMonte Carlo simulations; Bridge method; Variance-gamma; Option valuation;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-28 (All new papers)
- NEP-CFN-2003-10-28 (Corporate Finance)
- NEP-CMP-2003-10-28 (Computational Economics)
- NEP-RMG-2003-10-28 (Risk Management)
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