Pricing of basket options using univariate normal inverse Gaussian approximations
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Publication:2997946
DOI10.1002/FOR.1179zbMATH Open1211.91252OpenAlexW2067713566MaRDI QIDQ2997946FDOQ2997946
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
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Cites Work
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- Hyperbolic distributions in finance
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- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- The normal inverse gaussian lévy process: simulation and approximation
- The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
- Title not available (Why is that?)
- A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
Cited In (6)
- Analytic approximations for multi-asset option pricing
- Pricing of spread options on a bivariate jump market and stability to model risk
- Approximated moment-matching dynamics for basket-options pricing
- PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
- 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
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