如题，求篇文献[size=1.3em]Efficient pricing of barrier options with the variance-gamma model
作者：Athanassios N. Avramidis
Abstract：
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge sampling algorithm of Avramidis, L'Ecuyer, and Tremblay (2003), we develop conditional bounds on the process paths and exploit these bounds to price barrier options. The algorithm's efficiency stems from sampling the process paths up to a random resolution that is usually much coarser than the original path resolution. We obtain unbiased estimators, including the case of continuous-time monitoring of the barrier crossing. Our numerical examples show large efficiency gain relative to full-dimensional path sampling.


如果哪位大神手上有这篇文献，望高抬贵手，本人手上只有12个论坛币（----弱爆了。。。正在努力存钱中），不胜感激~~撒花~~~