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.
Kienitz Wetterau FinModelling (2020). Bridge Sampling (https://www.mathworks.com/matlabcentral/fileexchange/37622-bridge-sampling), MATLAB Central File Exchange. Retrieved .