New simulation methodology for finance: efficient simulation of gamma and variance-gamma processes

@inproceedings{Avramidis2003NewSM,
  title={New simulation methodology for finance: efficient simulation of gamma and variance-gamma processes},
  author={Athanassios N. Avramidis and Pierre L'Ecuyer and Pierre-Alexandre Tremblay},
  booktitle={Winter Simulation Conference},
  year={2003}
}
We study algorithms for sampling discrete-time paths of a gamma process and a variance gamma process, defined as a Brownian process with random time change obeying a gamma process. The attractive feature of the algorithms is that increments of the processes over longer time scales are assigned to the first sampling coordinates. The algorithms are based on having in explicit form the process' conditional distributions, are similar in spirit to the Brownian bridge sampling algorithms proposed for… CONTINUE READING

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