Variance-Gamma and Monte Carlo

By Michael C. Fu. 2007

59 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/edef4f43406b2b16081ccb13a6512df643b2801e

Citations in the corpus

• The Variance-Gamma Distribution: A Review (2023, unknown): “We also do not discuss methods for simulating VG processes, and refer the reader to Avramidis and L’Ecyuer [6], Fu [34] and Korn, Korn and Kroisandt [59, Section 7.”