Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models

DOI10.21314/JCF.2010.218zbMATH Open1284.91566OpenAlexW2420486300MaRDI QIDQ5411506

Martin Becker

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.218

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Simulation of Tempered Stable Lévy Bridges and Its Applications

This page was built for publication: Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5411506)