New simulation methodology for finance: efficient simulation of gamma and variance-gamma processes - researchr publication authors

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Athanassios N. Avramidis, Pierre L Ecuyer, Pierre-Alexandre Tremblay. New simulation methodology for finance: efficient simulation of gamma and variance-gamma processes. In Stephen E. Chick, Paul J. Sanchez, David M. Ferrin, Douglas J. Morrice, editors, Proceedings of the 35th Winter Simulation Conference: Driving Innovation, New Orleans, Louisiana, USA, December 7-10, 2003. pages 319-326, ACM, 2003. [doi]

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