Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
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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 (2026). Bridge Sampling (https://in.mathworks.com/matlabcentral/fileexchange/37622-bridge-sampling), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (16 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
