Pricing of basket options using univariate normal inverse Gaussian approximations (Q2997946): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 09:19, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of basket options using univariate normal inverse Gaussian approximations |
scientific article |
Statements
Pricing of basket options using univariate normal inverse Gaussian approximations (English)
0 references
10 May 2011
0 references
normal inverse Gaussian distribution
0 references
approximation
0 references
moment matching
0 references
basket option
0 references
simulation
0 references
