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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Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
scientific article; zbMATH DE number 6252430

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    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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