Closed-form valuations of basket options using a multivariate normal inverse Gaussian model (Q1003824): Difference between revisions
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| Property / cites work: Actuarial bridges to dynamic hedging and option pricing / rank | |||
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| Property / cites work: Saddlepoint approximations to the distribution of the total claim amount in some recent risk models / rank | |||
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Revision as of 02:39, 29 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-form valuations of basket options using a multivariate normal inverse Gaussian model |
scientific article |
Statements
Closed-form valuations of basket options using a multivariate normal inverse Gaussian model (English)
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4 March 2009
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normal inverse Gaussian
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basket option
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Esscher transform
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time-changed Lévy process
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