Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options (Q3117805)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options |
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Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options (English)
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1 March 2012
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option pricing
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gamma bridge variance
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gamma process
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Dirichlet partitions
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quasi-Monte Carlo Kingman limit
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