Efficient Monte Carlo and Quasi - Monte Carlo Option Pricing Under the Variance Gamma Model

Athanassios N. Avramidis, Pierre L Ecuyer. Efficient Monte Carlo and Quasi - Monte Carlo Option Pricing Under the Variance Gamma Model. Management Science, 52(12):1930-1944, 2006. [doi]

Authors

Athanassios N. Avramidis

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Pierre L Ecuyer

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