Efficient Monte Carlo and Quasi - Monte Carlo Option Pricing Under the Variance Gamma Model.

Athanassios N. Avramidis Pierre L'Ecuyer

Published in: Manag. Sci. (2006)

Keyphrases

monte carlo
monte carlo simulation
markov chain
variance reduction
quasi monte carlo
objective function
expert systems
prior knowledge
long term
probabilistic model
learning algorithm
particle filter
stochastic process