Bridge Sampling

Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
Updated 25 Jul 2012

View License

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 (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Find more on Energy Production in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes