Indifference pricing of contingent claims on NIG Lévy model

MaRDI QIDQ4918944zbMATH OpenFDO

Authors Philip Ngare

Publication date 7 May 2013

Full work available at URL http://www.m-hikari.com/ams/ams-2012/ams-45-48-2012/index.html

zbMATH Keywords

Monte Carlo methodsutility indifference pricingpartial integro-differential equationsEsscher transformsLévy processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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