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"Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing ..."

Vladimir K. Kaishev, Dimitrina S. Dimitrova (2009)

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DOI: 10.1287/MNSC.1080.0953

access: closed

type: Journal Article

metadata version: 2023-03-21

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Vladimir K. Kaishev, Dimitrina S. Dimitrova:
Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options. Manag. Sci. 55(3): 483-496 (2009)

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