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Valuing path dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
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Ribeiro, C. (Claudia) and Webber, Nick (2002) Valuing path dependent options in the variance-gamma model by Monte Carlo with a gamma bridge. Working Paper. Warwick Business School, Financial Econometrics Research Centre, Coventry.
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
| Item Type: | Working or Discussion Paper (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
| Library of Congress Subject Headings (LCSH): | Monte Carlo method, Analysis of variance, Lattice theory, Options (Finance) -- Europe |
| Series Name: | Working papers (Warwick Business School. Financial Econometrics Research Centre) |
| Publisher: | Warwick Business School, Financial Econometrics Research Centre |
| Place of Publication: | Coventry |
| Date: | 20 September 2002 |
| Number: | No.02- |
| Number of Pages: | 25 |
| Status: | Not Peer Reviewed |
| Access rights to Published version: | Open Access |
| Funder: | Fundação para a Ciência e a Tecnologia (FCT), Universidade do Porto. Faculdade de Economia (FdE) |
| URI: | http://wrap.warwick.ac.uk/id/eprint/1808 |
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