"An efficient acceleration Monte Carlo simulation for pricing Asian option ..."

Chenglong Xu, Feng Yang, Yongchao Sun (2019)

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DOI: 10.1080/00207160.2019.1577399

access: closed

type: Journal Article

metadata version: 2025-01-19

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Chenglong Xu, Feng Yang, Yongchao Sun:
An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting. Int. J. Comput. Math. 96(12): 2522-2532 (2019)

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