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    Efficient Pricing of Barrier Options with the Variance-Gamma Model
    14 years 26 days ago
    Efficient Pricing of Barrier Options with the Variance-Gamma Model
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    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
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