Sciweavers

    WSC
    2004
    103views Modeling And Simulation» more  WSC 2004»
    Efficient Pricing of Barrier Options with the Variance-Gamma Model
    14 years 2 months ago
    Efficient Pricing of Barrier Options with the Variance-Gamma Model
    Download  eprints.soton.ac.uk
    We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
    Athanassios N. Avramidis
    claim paper
    Read More »
    Explore & Download
    Proceedings Preprints Top 5 Ranked Papers Publications Books Software Tutorials Presentations Lectures Notes Datasets
    Productivity Tools
    International On-screen Keyboard Graphical Social Symbols OCR Text Recognition CSS3 Style Generator Web Page to PDF Web Page to Image PDF Split PDF Merge Latex Equation Editor Sci2ools
    Document Tools
    PDF to Text PDF to Postscript PDF to Thumbnails Excel to PDF Word to PDF Postscript to PDF PowerPoint to PDF Latex to Word Repair Corrupted PDF
    Image Tools
    JPG to PS JPG to PDF Extract Images from PDF Image Converter
    Sciweavers
    About Community Cookies Privacy Policy Terms of Use

    Copyright © Sciweavers LLC, 2009-2025, USA.