Pricing of basket options using univariate normal inverse Gaussian approximations

DOI10.1002/FOR.1179MaRDI QIDQ2997946zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Pål Nicolai Henriksen

Publication date 10 May 2011

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/10365

zbMATH Keywords

simulationapproximationnormal inverse Gaussian distributionmoment matchingbasket option

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3600847 (Why is no real title available?)
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
• Hyperbolic distributions in finance
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• The normal inverse gaussian lévy process: simulation and approximation

Cited in

(6)

• PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
• Analytic approximations for multi-asset option pricing
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
• Pricing of spread options on a bivariate jump market and stability to model risk
• Approximated moment-matching dynamics for basket-options pricing

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Uses Software

• QRM

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