Pricing of basket options using univariate normal inverse Gaussian approximations (Q2997946)
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scientific article; zbMATH DE number 5886177
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| English | Pricing of basket options using univariate normal inverse Gaussian approximations |
scientific article; zbMATH DE number 5886177 |
Statements
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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0.8082886934280396
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0.8023039102554321
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0.7940931916236877
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0.7923155426979065
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0.7852829694747925
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