A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES (Q5487828)
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scientific article; zbMATH DE number 5052907
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES |
scientific article; zbMATH DE number 5052907 |
Statements
A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES (English)
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12 September 2006
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quasi-Monte Carlo
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normal inverse Gaussian distribution
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Newton-Raphson method
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option pricing
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implied volatility
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