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

Author

Listed:
  • Nick Webber
  • Claudia Ribeiro

Abstract

No abstract is available for this item.

Suggested Citation

  • Nick Webber & Claudia Ribeiro, 2003. "Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge," Computing in Economics and Finance 2003 4, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:4
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    Citations

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    Cited by:

    1. Nguyet Nguyen & Giray Okten, 2014. "The acceptance-rejection method for low-discrepancy sequences," Papers 1403.5599, arXiv.org.
    2. 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.
    3. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
    4. 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.
    5. Olivier Le Courtois & François Quittard-Pinon, 2008. "Fair Valuation of Participating Life Insurance Contracts with Jump Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 33(2), pages 106-136, December.
    6. Wenbin Hu & Junzi Zhou, 2017. "Backward simulation methods for pricing American options under the CIR process," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1683-1695, November.
    7. 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.

    More about this item

    Keywords

    Monte Carlo simulations; Bridge method; Variance-gamma; Option valuation;
    All these keywords.

    JEL classification:

    • 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

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