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Bridge Sampling

version 1.0.0.0 (16 KB) by Kienitz Wetterau FinModelling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)

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Updated 25 Jul 2012

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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.

Cite As

Kienitz Wetterau FinModelling (2021). Bridge Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37622-bridge-sampling), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
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