Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model

Management Science

Volumn 52, Issue 12, 2006, Pages 1930-1944

  Avramidis, Athanassios N ^a   L'Ecuyer, Pierre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Efficiency improvement; Extrapolation; Option pricing; Quasi Monte Carlo; Variance gamma

Indexed keywords

ALGORITHMS; EXTRAPOLATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; RANDOM PROCESSES;

EFFICIENCY IMPROVEMENT; OPTION PRICING; QUASI MONTE CARLO; VARIANCE GAMMA;

COSTS;

EID: 33845529191     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1060.0575     Document Type: Article

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