Ribeiro, Cláudia and Nick Webber (2004); “Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge“, Journal of Computational Finance, 7(2), pp. 81-100.
Ribeiro, Cláudia and Nick Webber (2004); “Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge“, Journal of Computational Finance, 7(2), pp. 81-100.