Efficient pricing of barrier options with the variance-gamma model

Proceedings - Winter Simulation Conference

Volumn 2, Issue , 2004, Pages 1574-1578

  Avramidis, Athanassios N ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; ESTIMATION; EXTRAPOLATION; HEURISTIC METHODS; MATHEMATICAL MODELS; MONTE CARLO METHODS; NUMERICAL METHODS;

GAMMA PROCESS; PATH SAMPLING; PRICE BARRIER OPTIONS;

FINANCE;

EID: 17744378216     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

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2. Avramidis, A. N., P. L'Ecuyer, and P.-A. Tremblay. 2003. Efficient simulation of gamma and variance-gamma processes. In Proceedings of the 2003 Winter Simulation Conference, ed. S. Chick, P. J. Sanchez, D. Ferrin, and D. J. Morrice, 319-326. Piscataway, New Jersey: IEEE Press.
3. Feller, W. 1966. An introduction to probability theory and its applications, vol. 2. first ed. New York: Wiley.
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9. Ribeiro, C., and N. Webber. 2003. Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes. Working Paper, Cass Business School, London, UK.
10. Ribeiro, C., and N. Webber. 2004. Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge. The Journal of Computational Finance 7 (2):81-100.