Pricing power option under NIG model using fast Fourier transform

DOI10.1007/S11766-025-4249-2MaRDI QIDQ6934754zbMATH OpenFDO

Authors Cuixiang Li, Mengna Wang, Huili Liu, Wenhan Li

Publication date 3 September 2025

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11766-025-4249-2

zbMATH Keywords

Esscher transformFFT algorithmFourier transformNIG processpower option

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Numerical methods for discrete and fast Fourier transforms (65T50) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• Fast Fourier transform: algorithms and applications
• scientific article; zbMATH DE number 1594551 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Minimal entropy preserves the Lévy property: how and why
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Option pricing when underlying stock returns are discontinuous
• Pricing and hedging power options
• Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
• The pricing of options and corporate liabilities
• Valuation of power options under Heston's stochastic volatility model

Cited in

(1)

• Pricing of convertible bonds based on Normal Inverse Gaussian model

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