Bridge Sampling

버전 1.0.0.0 (16 KB) 작성자: Kienitz Wetterau FinModelling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
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업데이트 날짜: 2012/7/25

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Results from Chapter 7 and 8 of Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We illustrate bridge sampling with quasi random numbers, in this case Sobol numbers.

We cover the Brownian Bridge for Geometric Brownian motion and Gamma Bridge for Variance Gamma processes.

인용 양식

Kienitz Wetterau FinModelling (2024). Bridge Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37622-bridge-sampling), MATLAB Central File Exchange. 검색됨 .

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