Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (Q5745541)
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scientific article; zbMATH DE number 6252430
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| default for all languages | No label defined |
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| English | Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes |
scientific article; zbMATH DE number 6252430 |
Statements
Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (English)
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30 January 2014
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Appell hypergeometric function
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digital options
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Esscher measure
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European call and put
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normal-inverse Gaussian process
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0.89051753
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0.88031083
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0.8733399
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0.87082464
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0.86838186
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0.86805105
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0.8658151
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0.8644767
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0.86336845
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