Bridge Sampling

Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
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Updated Wed, 25 Jul 2012 16:06:30 +0000

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

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1.0.0.0