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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. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.02-).

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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

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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
Official Date: 20 September 2002
Dates:
DateEvent
20 September 2002Published
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Status: Not Peer Reviewed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)

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