Pricing of basket options using univariate normal inverse Gaussian approximations (Q2997946): Difference between revisions
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Revision as of 02:02, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of basket options using univariate normal inverse Gaussian approximations |
scientific article |
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Pricing of basket options using univariate normal inverse Gaussian approximations (English)
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10 May 2011
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normal inverse Gaussian distribution
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approximation
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moment matching
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basket option
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simulation
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